Essays about: "Conditional Variance"

Showing result 11 - 15 of 75 essays containing the words Conditional Variance.

  1. 11. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Wilfer; Philip Wikström; [2021]
    Keywords : ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

    Abstract : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. READ MORE

  3. 12. A test of GARCH models onCoCo bonds

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : JIMMY HENRIKSSON; [2021]
    Keywords : ARCH; GARCH; CoCo-bonds; Additional Tier-1; Volatility; Volatility forecasting; ARCH; GARCH; CoCo-obligationer; AT1; Volatilitet; Prediktion av volatilitet; Prognotisering av volatilitet;

    Abstract : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. READ MORE

  4. 13. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences

    University essay from KTH/Matematik (Avd.)

    Author : Kamyar Espahbodi; Roumi Roumi; [2021]
    Keywords : Shadow Allocations; Liquidity; Illiquidity; Alternative Assets; Liquid Assets; Illiquid Assets; Investor Preferences; Monte Carlo Simulations; Tangency Portfolio; Global Minimum Risk Portfolio; Skuggallokeringar; Likviditet; Illikviditet; Alternativa Tillgångar; Likvida Tillgångar; Illikvida Tillgångar; Investerarpreferenser; Monte Carlo-Simuleringar; Tangentportföljen; Minimiriskportföljen;

    Abstract : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. READ MORE

  5. 14. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Evelyn Dela Gbadago; [2021]
    Keywords : Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

    Abstract : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. READ MORE

  6. 15. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

    University essay from Umeå universitet/Företagsekonomi

    Author : Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
    Keywords : Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

    Abstract : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. READ MORE