Essays about: "Realized Volatility"
Showing result 6 - 10 of 59 essays containing the words Realized Volatility.
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6. Volatility Forecasting with Artificial Neural Networks: Can we trust them?
University essay from Stockholms universitet/FinansieringAbstract : This thesis investigates how two types of artificial neural network models (ANN), feedforwardneural networks (FNN) and long short-term memory (LSTM), used for realized volatility (RV) forecasting, perform during high and low volatility regimes in comparison to the heterogeneousautoregressive (HAR) model. This is done for 23 stocks, constituents of the Swedish index OMXS30, between the 8th of February 2010 and the 31st of January 2022 using ten exogenous and three endogenous input variables. READ MORE
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7. Volatility forecasting of green and non-green cryptocurrencies. Is there a difference? : A quantitative study evaluating GARCH-models forecast accuracy
University essay from Umeå universitet/NationalekonomiAbstract : Cryptocurrencies are rapidly growing. The energy consumption required to be mined is huge but differs between mining processes. This thesis proposes a definition of green and non-green cryptocurrencies depending on the mining process. Green cryptocurrencies are mined through Proof of Stake and non-green are mined trough Proof of Work. READ MORE
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8. Forecasting Value-at-Risk using GARCH(1,1) and Neural Networks as Volatility Estimation Methods – A Comparative Study
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Northvolt was founded in 2015 with the goal to create the world's greenest battery. Today, Northvolt is mainly funded by investors and have suppliers all over the world, which does not come risk free. READ MORE
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9. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model
University essay from Göteborgs universitet/Graduate SchoolAbstract : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. READ MORE
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10. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance
University essay from Umeå universitet/NationalekonomiAbstract : Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. READ MORE
