Essays about: "Volatility clustering"

Showing result 21 - 25 of 26 essays containing the words Volatility clustering.

1. 21. Evaluation and Analysis of Value at Risk Methodologies for Exchange Rate Risk in the Euro Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Yu Shao; Haibo Yan; [2012]
   Keywords : Value at Risk; volatility clustering; exchange rate; volatility weighted historical simulation; normal distribution; student t-distribution; extreme value theory; Business and Economics;

   Abstract : The deteriorating European economic situation has suggested the necessity of risk management in the exchange rate of EUR for governments and corporations, but there is few researches studying in this field. In this thesis, by choosing USD/EUR, JPY/EUR and GBP/EUR as subjects, with a focus on the availability of different methods to the estimation of exchange rate risk of EUR, we aim to calculate the VaR of those three kinds of exchange rates and try to find the most accurate model to measure exchange rate risk in different environments and periods. READ MORE

3. 22. Stock Market’s Short-Term Reactions and Volatility as a Result of Political Instability in Serbia

   University essay from Blekinge Tekniska Högskola/Sektionen för management

   Author : Vladimir STAMENOVIC; [2012]
   Keywords : GARCH; Serbia; volatility; political instability; shock-days; short-term stock market reactions;

   Abstract : Volatility of financial markets has been mathematically defined and well researched, but its causes are harder to identify. Investors’ strategies are based on numerous factors based on well-known theories – EMH, or more behavioral theory. READ MORE

4. 23. Forecasting exchage rates using machine learning models with time-varying volatility

   University essay from Statistik

   Author : Ankita Garg; [2012]
   Keywords : Forecasting; exchange rates; machine learning models;

   Abstract : This thesis is focused on investigating the predictability of exchange rate returns on monthly and daily frequency using models that have been mostly developed in the machine learning field. The forecasting performance of these models will be compared to the Random Walk, which is the benchmark model for financial returns, and the popular autoregressive process. READ MORE

5. 24. VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL

   University essay from Linnéuniversitetet/Institutionen för datavetenskap, fysik och matematik, DFM

   Author : PASCAL EBOT ARREY-MBI; [2011]
   Keywords : Volatility Clustering; Fundamentalists; Chartists; Switching.;

   Abstract : Volatility clustering is a stylized fact common in nance. Large changes in prices tend to cluster whereas small changes behave likewise. The higher the volatility of a market, the more risky it is said to be and vice versa . Below, we study volatility clustering using an agent-based model. READ MORE

6. 25. Star Vars: Finding the optimal Value-at-Risk approach for the banking industry

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Björn Eriksson; Olle Billinger; [2009]
   Keywords : Value-at-Risk; VaR; risk management; Backtesting; Basel; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH models for forecasting volatility. READ MORE