Essays about: "GARCH."
Showing result 6 - 10 of 348 essays containing the word GARCH..
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6. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations
University essay from Lunds universitet/Matematisk statistikAbstract : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. READ MORE
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7. 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 fakultetenAbstract : 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
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8. Exchange Rate Analysis Between the U.S. Dollar and the Japanese Yen
University essay from Uppsala universitet/Statistik, AI och data scienceAbstract : 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
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9. Analysis of 2022 Demand Response Events in California: Baseline Modelling using the SARIMAX-GARCH Model
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This study investigates the use of a combination of SARIMAX and GARCH models to create baselines for electricity demand, generation, and interchange in order to analyze deviations during demand response events. Demand response plays and will continue to play a crucial role in the management of the electric grid during periods of extreme imbalances. READ MORE
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10. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach
University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Abstract : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. READ MORE