Essays about: "Volatilitet"

Showing result 21 - 25 of 98 essays containing the word Volatilitet.

  1. 21. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Mathilda Schönbeck; Fatima Salman; [2022]
    Keywords : Bitcoin; forecasting; volatility; logarithmic return; ARCH; GARCH; ARIMA model; dynamic regression;

    Abstract : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. READ MORE

  3. 22. An analysis of how price fluctuations for commodities impact performance of Swedish industrial companies

    University essay from KTH/Matematisk statistik

    Author : Albin Rippe; Henrik Oksanen; [2022]
    Keywords : Commodities; Applied mathematics; regression analysis; Platinum; Brent oil; Statistics; Swedish industry; gross profits; price changes; volatility; Råvaror; TIllämpad matematik; regressionsanalys; platinum; brent oil; statistik; Svensk industri; Bruttovinster; Prisförändringar; Volatilitet;

    Abstract : The relationship between performance for the Swedish industry and changesin prices and volatility of commodities has been examined using multiple linearregression. The study focuses on how commodity price fluctuations correlate withgross profit growth, measuring company performance. READ MORE

  4. 23. Forecasting Efficiency in Cryptocurrency Markets : A machine learning case study

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Erik Persson; [2022]
    Keywords : Cryptocurrencies; Financial time-series; Multi step-ahead forecasting; Machine Learning; Feature selection; Kryptovalutor; Finansiella tidsserier; Flerstegsprognoser; Maskininlärning; variabelselektion;

    Abstract : Financial time-series are not uncommon to research in an academic context. This is possibly not only due to its challenging nature with high levels of noise and non-stationary data, but because of the endless possibilities of features and problem formulations it creates. READ MORE

  5. 24. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Erik Huss; Mario Ishak; [2022]
    Keywords : Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

    Abstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE

  6. 25. Volatility Forecasting using GARCH Processes with Exogenous Variables

    University essay from KTH/Matematisk statistik

    Author : Ellis Larson; [2022]
    Keywords : Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Abstract : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. READ MORE