Essays about: "GARCH model"

Showing result 1 - 5 of 249 essays containing the words GARCH model.

  1. 1. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Ahlqvist; Walter Uong; [2023-06-29]
    Keywords : ;

    Abstract : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. READ MORE

  3. 2. 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 School

    Author : Johannes Marmdal; Adam Törnqvist; [2023-06-29]
    Keywords : Forecast; Volatility; Ether; GARCH; EWMA; SMA;

    Abstract : 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

  4. 3. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Khaled Jrideh; [2023-05-26]
    Keywords : ;

    Abstract : 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

  5. 4. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

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

    Author : Sebastian Mortimore; William Sturehed; [2023]
    Keywords : GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

    Abstract : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. READ MORE

  6. 5. Exchange Rate Analysis Between the U.S. Dollar and the Japanese Yen

    University essay from Uppsala universitet/Statistik, AI och data science

    Author : Yuta Sakiyama; [2023]
    Keywords : ;

    Abstract : The exchange data between the U.S. Dollar and Japanese Yen are analyzed with three models called the Auto-Regressive Integrated Moving- Average (ARIMA) model, the Generalized Auto-Regressive Conditional Heteroscedastic (GARCH) model, and the Fractional Differencing model. READ MORE