Essays about: "Johannes Marmdal"

Found 1 essay containing the words Johannes Marmdal.

  1. 1. 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