Essays about: "Day-ahead"
Showing result 1 - 5 of 111 essays containing the word Day-ahead.
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1. The Price of Power: A quantitative study of price elasticity of demand during high electricity prices in Southern Sweden
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : Unprecedentedly high electricity prices became a pressing issue for consumers in 2021-2022, causing political debate and shedding light on the hourly electricity prices. Out of the four Swedish electricity areas created to facilitate an effective electricity market, this thesis will focus on SE3 and SE4 in the South of Sweden, which experienced the highest prices in 2021-2022. READ MORE
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2. Volatility Forecasting - A comparative study of different forecasting models.
University essay fromAbstract : 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
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3. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether
University essay from Göteborgs universitet/Graduate SchoolAbstract : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. READ MORE
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4. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. READ MORE
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5. Improvement of Wind Power Forecasting and Prediction of Production Losses Caused by Ice Formation on Wind Turbine Blades : - A Machine Learning Approach
University essay from Umeå universitet/Institutionen för fysikAbstract : In the ongoing climate crisis, transitioning to renewable energy sources is essential to manage the increasing energy demand. One such renewable energy source is the weather-dependent energy source, wind power. Many wind farms are located in Cold Climate (CC) regions, known for their vast potential for wind power production. READ MORE
