Essays about: "GJR-GARCH 1"
Showing result 1 - 5 of 15 essays containing the words GJR-GARCH 1.
-
1. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. READ MORE
-
2. The Energy Transition: The Behavior of Renewable Energy Stock During Times of Energy Security Uncertainty : A firm-specific study of the volatility characteristics, crucial drivers & uncertainties of renewable energy stock
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : The global energy sector is experiencing an transition towards renewable energy, a transition that is mainly driven by issues related to climate change and energy security. In this paper, we investigate the time-varying volatility and risk measures of renewable energy and traditional energy firms. READ MORE
-
3. Green Finance and its Relation to Asset Classes : Analyzing the dependency structure with a DCC-GARCH and a cross-quantilogram approach
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : In this master thesis, we present the first empirical study that investigates the correlation- and dependence structure of green finance with major asset classes such as cryptocurrency, commodities, equity and currency on a global level. Over the years, green finance and sustainability questions have become more and more central in the literature. READ MORE
-
4. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. READ MORE
-
5. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average? The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE