Essays about: "Realized variance"
Showing result 1 - 5 of 27 essays containing the words Realized variance.
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1. Volatility Forecasting - A comparative study of different forecasting models.
University essay fromAbstract : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. READ MORE
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2. Considering Tail Events in Hedge Fund Portfolio Optimization
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE
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3. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power
University essay from Umeå universitet/FöretagsekonomiAbstract : 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
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4. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk
University essay from Lunds universitet/Matematisk statistikAbstract : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. READ MORE
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5. The Effect of Simulink Block Kalman Filters in a CubeSat ADCS
University essay from KTH/RymdteknikAbstract : The purpose of this paper was to implement Kalman filtering in the form of pre-existing Simulink blocks into a CubeSat attitude determination and control system simulation and to evaluate their performance. In recent versions of Simulink, the block library has been expanded, providing a new level of abstraction for simulation engineers. READ MORE
