Essays about: "GARCH-M"

Showing result 1 - 5 of 9 essays containing the word GARCH-M.

  1. 1. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

  3. 2. Macroeconomic Announcements and Uncertainty Resolving : Empirical Evidence from the Eurozone

    University essay from Umeå universitet/Nationalekonomi

    Author : Mohammad Aljaid; [2021]
    Keywords : ;

    Abstract : Studying and identifying the impact of the macroeconomic news on the uncertainty, measured by the implied volatility index behavior in the European financial market, is the main goal of this study. The macroeconomic variables are regarded in this study are consumer price index CPI, the gross domestic product GDP, employment reports EMP, monetary policy MP, labor cost LC, and the current account for the Eurozone CA. READ MORE

  4. 3. Bank stock return sensitivity to changes in interest rate level and volatility

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Filip Bengtsson; Alfred Persson; [2018]
    Keywords : Banks; stock return; interest rates; volatility; GARCH-M;

    Abstract : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. READ MORE

  5. 4. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jens Norell; Eric Dove; [2016]
    Keywords : Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

    Abstract : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. READ MORE

  6. 5. The Predictive Power of Candlestick Patterns - An Empirical Test of Technical Indicators on the Swedish Stock Market Using GARCH-M and Bootstrapping

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Max Jönsson; [2016]
    Keywords : Candlestick patterns; technical analysis; bootstrap; ARCH; GARCH-M; efficient market hypothesis; random walk model; OMXS30; Business and Economics;

    Abstract : Using statistical tests, the profitability and predictive power of a technical analysis strategy based on candlestick patterns is tested. Candlestick technical analysis is a short term strategy based on the open, high, low and closing prices of a financial asset. READ MORE