Essays about: "Natalia Rafikova"

Found 1 essay containing the words Natalia Rafikova.

  1. 1. FORECASTING VOLATILITY:: EVIDENCE FROM SWEDISH STOCK MARKET

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Yu Meng; Natalia Rafikova; [2006]
    Keywords : Volatility; GARCH; Implied Volatility;

    Abstract : This study evaluates the performance of alternative models for predicting stock price volatility on Swedish market. The model set contains various methods for producing volatility forecasts ranging from simple ones (Random Walk, Moving Average and Exponentially Moving Average) to non-linear group of models (GARCH (1,1) and EGARCH) and Implied volatility from OMX S30 option prices (IV). READ MORE