Essays about: "EWMA"

Showing result 11 - 15 of 31 essays containing the word EWMA.

  1. 11. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Johan Röring; [2017]
    Keywords : ;

    Abstract : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. READ MORE

  3. 12. Are GARCH models necessary for Expected Shortfall?

    University essay from Lunds universitet/Statistiska institutionen

    Author : Erik Berggren; [2017]
    Keywords : Forecasting; Backtesting; Value at Risk; Expected Shortfall; GARCH models; Mathematics and Statistics;

    Abstract : Following the Basel Committee on Banking Supervision’s decision to move from Value at Risk to Expected Shortfall, risk managers will have to alter their methods for reporting risk. This paper sheds light on the question of which volatility models and distributional assumptions that works best for this new method of risk measurement by evaluating forecasts for the Swedish index OMXS30. READ MORE

  4. 13. Strategies for High Frequency FX Trading - The choice of bucket size

    University essay from Lunds universitet/Matematisk statistik

    Author : Malin Lunsjö; Malin Riddarström; [2017]
    Keywords : Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

    Abstract : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. READ MORE

  5. 14. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl Nilsson; [2017]
    Keywords : volatility forecasting; VaR; GARCH; model confidence set; Business and Economics;

    Abstract : In this study we compare different volatility models on their ability to forecast one day ahead volatility and value-at-risk (VaR). We compare five different GARCH specifications: GARCH, IGARCH, GJR-GARCH, EGARCH and APARCH, as well as EWMA, each paired with six different conditional distributions. READ MORE

  6. 15. Quantifying market risk : - An evaluation of VaR methodologies in the banking sector

    University essay from Umeå universitet/Nationalekonomi

    Author : Andreas Wikström; [2016]
    Keywords : ;

    Abstract : In this study some of the most commonly used methods by banks whenestimating the Value-at-risk (VaR) is evaluated. To find the best models forestimating the VaR, the performance of these methods is assessed on the basisof Kupiec’s unconditional coverage test of statistical accuracy. READ MORE