Essays about: "Conditional Heteroskedasticity"

Showing result 1 - 5 of 18 essays containing the words Conditional Heteroskedasticity.

  1. 1. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

  3. 2. Explaining the dynamics of exchange rate volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jacob Tjerneld; Hampus Lööw; [2022]
    Keywords : Exchange Rates; Volatility; GARCH; Heteroskedasticity; Time Series Analysis.; Business and Economics;

    Abstract : This research examines the volatility of the Swedish krona in regards to the Euro and US-dollar exchange rate, using both daily and monthly data ranging from the beginning of 2000 until 2022. Using this time span allows us to update previous literature on exchange rate volatility, and also incorporates recent economic events such as the great financial crisis of 2008, the 2020 covid-pandemic and the geopolitical uncertainty in Europe following Russia's invasion of Ukraine. READ MORE

  4. 3. CAN DEEP LEARNING BEAT TRADITIONAL ECONOMETRICS IN FORECASTING OF REALIZED VOLATILITY?

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Filip Björnsjö; [2020]
    Keywords : Deep Learning; Econometrics; volatility;

    Abstract : Volatility modelling is a field dominated by classic Econometric methods such as the Nobel Prize winning Autoregressive conditional heteroskedasticity (ARCH) model. This paper therefore investigates if the field of Deep Learning can live up to the hype and outperform classic Econometrics in forecasting of realized volatility. READ MORE

  5. 4. Volatility of copper prices and the effect of real interest rate changes : does the theory of storage explain the volatility of copper spot and futures prices?

    University essay from SLU/Dept. of Economics

    Author : Moa Duvhammar; [2018]
    Keywords : theory of storage; copper price volatility; futures curve; conditional variance; GARCH;

    Abstract : The purpose of this thesis is to determine if the predictions of the theory of storage can explain the volatility of copper prices during the past two decades. The theory predicts that decreasing interest rates should reduce the volatility of commodity prices by encouraging the smoothing of short-run price swings caused by temporary shocks to supply and demand. READ MORE

  6. 5. Testing the effects of short-selling constraints in Europe using GARCH models

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kasper Uhd Jepsen; Anna Sofia Louise Karlsson; [2018]
    Keywords : GARCH; Short selling; short sale restrictions; EGARCH; volatility; Business and Economics;

    Abstract : By betting on market downturns, short sellers make profits from asset declines. Thus, critics often blame short sellers for being responsible for market downturns and as a consequence, short selling restrictions became a popular phenomenon worldwide post the 2008 financial crisis. READ MORE