Essays about: "Ossian Löhnn"

Found 1 essay containing the words Ossian Löhnn.

  1. 1. Univariate GARCH models with realized variance

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Carl Börjesson; Ossian Löhnn; [2019]
    Keywords : GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

    Abstract : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. READ MORE