Essays about: "Volatility forecast"

Showing result 16 - 20 of 88 essays containing the words Volatility forecast.

1. 16. 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. 17. Investment Decision for a Risk-Averse Investor : A Study of the Nordic Markets

   University essay from Umeå universitet/Nationalekonomi

   Author : Marcus Molitor; [2022]
   Keywords : ;

   Abstract : This paper investigates the investment decisions for a risk-averse investor. Today’s market offers a variety of different investment options, and it might be hard to filter out the good investments from the bad. This study aims to find the most attractive investments with regards to low volatility. READ MORE

4. 18. 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/Nationalekonomi

   Author : Agnes Lantto; [2022]
   Keywords : ;

   Abstract : 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

5. 19. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions

   University essay from KTH/Matematik (Avd.)

   Author : Adam Wuilmart; Erik Harrysson; [2022]
   Keywords : Earnout Contracts; Valuation; Mergers Acquisitions; Private Equity; Monte Carlo Simulation; Contingent Considerations; Tilläggsköpeskilling; Värdering; Bolagsförvärv; Black-Scholes; Monte Carlo Simulering; Optioner;

   Abstract : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. READ MORE

6. 20. Volatility Forecasting of an Optimal Portfolio

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Asima Saleemi; [2022]
   Keywords : Optimal Portfolio; Volatility modelling and Forecasting; Minimum Variance; ARCH model; GARCH Model; GJR-GARCH Model;

   Abstract : This thesis aims to construct an optimal portfolio and model as well as forecast its volatility. The performance of the optimal portfolio is then compared to two benchmarks, namely, an equally weighted portfolio and the market index SP 500. The volatility is estimated by employing two GARCH-type models known as standard GARCH, and GJR-GARCH. READ MORE