Essays about: "GJR-GARCH 1"

Showing result 6 - 10 of 17 essays containing the words GJR-GARCH 1.

  1. 6. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sofia Fors; Carl Billing; [2020]
    Keywords : BRICS; DCC-GJR-GARCH; risk spillovers; financial contagion; portfolio selection; Business and Economics;

    Abstract : 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

  3. 7. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Abstract : 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

  4. 8. Volatility of Bitcoin in a European Context

    University essay from Lunds universitet/Statistiska institutionen

    Author : Emilia Sjöberg; [2019]
    Keywords : GARCH; IGARCH; GRJ-GARCH; Jumps; Bitcoin; cryptocurrency; European market; Laplace distribution; Mathematics and Statistics;

    Abstract : In 2009, Bitcoin was introduced to the world. Today, ten years later, there are still gaps in the research of how to model the cryptocurrency. In this thesis, the capacities of different volatility models to capture the high volatility of Bitcoin returns are investigated. READ MORE

  5. 9. The Leverage Effect - Uncovering the true nature of U.S. asymmetric volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christoffer Dahlvid; Per Granberg; [2017]
    Keywords : Leverage effect; asymmetric volatlity; firm specific variables; volatility; GJR-GARCH; EGARCH; panel data; Business and Economics;

    Abstract : The topic of this thesis is the leverage effect i.e. asymmetric volatility. The leverage effect describes the negative relationship between asset value and volatility. READ MORE

  6. 10. Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Oscar Andersson; Erik Haglund; [2015]
    Keywords : Value at Risk; GARCH; EGARCH; GJR-GARCH; Volatility and Forecasting;

    Abstract : This essay investigates three different GARCH-models (GARCH, EGARCH and GJR-GARCH) along with two distributions (Normal and Student’s t), which are used to forecast the Value at Risk (VaR) for different return series. Seven major international equity indices are examined. READ MORE