Essays about: "Exponential-GARCH"

Found 4 essays containing the word Exponential-GARCH.

  1. 1. The Relationship Between Idiosyncratic Volatility and Portfolio Return within Swedish Stock Markets.

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Gray; Ricardo Sousa; [2022-06-29]
    Keywords : ;

    Abstract : Main results suggest there is a statistically and economically significant positive relationship between idiosyncratic volatility and portfolio return within the Swedish stock markets. This relationship is detected despite the low idiosyncratic volatility climate of Sweden. 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. VALUE-AT-RISK ESTIMATION USING GARCH MODELS FOR THE CHINESE MAINLAND STOCK MARKET

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dongya Zhou; [2020]
    Keywords : Volatility; Exponential-GARCH; VaR; Dynamic correlation;

    Abstract : With the acceleration of economic globalization, the immature Chinese mainland stock market is gradually associated with the stock markets of other countries. This paper predict the return rate of Chinese mainland stock market using several models from GARCH family, test the predictability by calculating Value-at-Risk, also capture the dynamic correlation between other fifive countries or region and mainland China by DCC-GARCH model. READ MORE

  5. 4. Econometric Methods and Monte Carlo Simulations for Financial Risk Management

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexander Baltaev; Ivaylo Chavdarov; [2013]
    Keywords : Value-at-Risk; GARCH; Monte Carlo; Global Financial Crisis.; Business and Economics;

    Abstract : Value-at-Risk (VaR) forecasting in the context of Monte Carlo simulations is evaluated. A range of parametric models is considered, namely the traditional Generalized Autore- gressive Conditional Heteroscedasticity (GARCH) model, the exponential GARCH and the GJR-GARCH, which are put in the context of the Gaussian and Student-t distri- butions. READ MORE