Essays about: "Realized Volatility"

Showing result 1 - 5 of 47 essays containing the words Realized Volatility.

  1. 1. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges

    University essay from Göteborgs universitet/Graduate School

    Author : Mohammad Rashidi Ranjbar; [2020-07-08]
    Keywords : Bitcoin; Volatility Modelling; GAS; GARCH; Realized GARCH; Coinbase; Bitfinex; Bitstamp;

    Abstract : MSc in Finance.... READ MORE

  2. 2. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
    Keywords : Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

    Abstract : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. READ MORE

  3. 3. Modeling the Relation Between Implied and Realized Volatility

    University essay from KTH/Matematisk statistik

    Author : Tobias Brodd; [2020]
    Keywords : Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

    Abstract : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. READ MORE

  4. 4. Option strategies using hybrid Support Vector Regression - ARIMA

    University essay from KTH/Matematisk statistik

    Author : Negin Nayeri; [2020]
    Keywords : ;

    Abstract : In this thesis, the use of machine learning in option strategies is evaluated with focus on the S&P 500 Index. The first part of the thesis focuses on testing the performance power of the Support Vector Regression (SVR) method for the historical realized volatility with a window of 20 days. READ MORE

  5. 5. DATA-DRIVEN DYNAMIC CAPABILITIES An exploration into digital transformation and business strategy building entailed by a dynamic capabilities view

    University essay from Malmö universitet/Teknik och samhälle

    Author : Andreas Marttila Gaard; Martin Malmgren; [2020]
    Keywords : dynamic capabilities; digital transformation; business model innovation; business strategy; data driven;

    Abstract : The pervasive nature of technological advancements has increased the complexity, and thus the environmental volatility that span well across the borders of industries and na-tions. It could be argued that the need for firms to demonstrate dynamic capabilities are greater than ever before. READ MORE