Essays about: "Volatility forecast"

Showing result 21 - 25 of 88 essays containing the words Volatility forecast.

  1. 21. Exchange Rate Risk and Forecasting

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ian Wallgren; [2022]
    Keywords : Exchange rate risk; exchange rate forecasting; Autoregressive Integrated Moving Average ARIMA ; Uncovered Interest Rate Parity UIRP ; Business and Economics;

    Abstract : Since the collapse of the Bretton Woods system, the system of fixed exchange rates amongst principal industrial countries, in the early 1970s, a new era began, introducing the floating exchange rate regime. Since the inception of the floating rate regime, the general interest in forecasting exchange rate movements has grown considerably. READ MORE

  3. 22. DCC-GARCH Estimation

    University essay from KTH/Matematik (Avd.)

    Author : Christofer Nordström; [2021]
    Keywords : Multivariate GARCH; DCC-GARCH; Conditional Correlation; Forecasting; Flerdimensionella GARCH-modeller; DCC-GARCH; Betingad Korrelation; Prognoser;

    Abstract : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. READ MORE

  4. 23. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance

    University essay from Umeå universitet/Nationalekonomi

    Author : Simon Molin; [2021]
    Keywords : ;

    Abstract : 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

  5. 24. Financial Applications of Benford’s Law - A Mathematical Approach for Analyzing Financial Market Behaviour

    University essay from KTH/Matematisk statistik

    Author : Peter Lindgren; Lucas Ternqvist; [2021]
    Keywords : Benford s Law; Financial market; Chi-square test; Index Indices ; Equity Equities ; Technical analysis; Volatility; Volume; Forecasting; Benfords Lag; Finansmarknaden; Chi-square test; Index; Aktier; Teknisk Analys; Volatilitet; Volym; Prognosticering;

    Abstract : The increasing usage of algorithms and extensive collections of data have changed the discipline of finance and created new possibilities for analyzing the financial markets. To further explore the potential of developing new methods for understanding financial market behaviour, this thesis examines the first digit probability distribution of Benford's Law and its applicability within the financial markets. READ MORE

  6. 25. A test of GARCH models onCoCo bonds

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : JIMMY HENRIKSSON; [2021]
    Keywords : ARCH; GARCH; CoCo-bonds; Additional Tier-1; Volatility; Volatility forecasting; ARCH; GARCH; CoCo-obligationer; AT1; Volatilitet; Prediktion av volatilitet; Prognotisering av volatilitet;

    Abstract : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. READ MORE