Essays about: "Conditional variance"

Showing result 1 - 5 of 75 essays containing the words Conditional variance.

  1. 1. Volatility Forecasting - A comparative study of different forecasting models.

    University essay from

    Author : Emil Sturesson; Anton Wennström; [2023-06-29]
    Keywords : Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

    Abstract : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. READ MORE

  3. 2. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

    University essay from KTH/Matematik (Avd.)

    Author : Idun Cederberg; Ida Cui; [2023]
    Keywords : Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

    Abstract : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. READ MORE

  4. 3. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

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

    Author : Farzam Ebrahimi; Samuel Elm; [2023]
    Keywords : Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

    Abstract : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. READ MORE

  5. 4. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Viktor Ågren; [2023]
    Keywords : risk metric; expected shortfall; backtest; value at risk; empirical analysis;

    Abstract : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. READ MORE

  6. 5. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

    University essay from

    Author : Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
    Keywords : Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

    Abstract : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. READ MORE