Essays about: "Volatility models"

Showing result 11 - 15 of 355 essays containing the words Volatility models.

1. 11. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Sebastian Mortimore; William Sturehed; [2023]
   Keywords : GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

   Abstract : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. READ MORE

3. 12. Assessing Electricity Prices and Their Driving Mechanisms in Brazil with Neural Networks

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

   Author : Henrique Costabile; [2023]
   Keywords : ;

   Abstract : In general, electricity prices are very volatile and derive from many external variables. In Brazil, this price is determined by computer models developed and operated by government organizations. The supply and demand relationships are not enough to determine prices in Brazilian submarkets. READ MORE

4. 13. CryptoCurrency Time Series analysis : Comparative analysis between LSTM and BART Algorithm

   University essay from Blekinge Tekniska Högskola/Institutionen för datavetenskap

   Author : Lakshmi Vyshnavi Nerella; Chiranjeevi Ponnada; [2023]
   Keywords : ;

   Abstract : Background: Cryptocurrency is an innovative digital or virtual form of money thatuses cryptographic techniques for secured financial transactions within a decentralized structure. Due to its high volatility and susceptibility to external factors, itis difficult to understand its behavior which makes accurate predictions challengingfor the investors who are trying to forecast price changes and make profitable investments. READ MORE

5. 14. Unleashing Profitability: Unraveling the Labor-R&D Nexus in SaaS Tech Firms : An Analysis of the Profitability Dynamics in SaaS Tech Firms through Stochastic Frontier

   University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

   Author : prashant Atla; Noräs Salman; [2023]
   Keywords : Employee growth; SaaS Industries; Profitability; Technical efficiency; Stochastic Frontier Analysis; Marginal Product of Labor; Panel data Models;

   Abstract : Background: High-tech's rapid growth and prioritization of expansion over profitability can lead to vulnerability in economic downturns. The SaaS market, a part of the high-tech industry, offers affordable and flexible software solutions but is also susceptible to market volatility. READ MORE

6. 15. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Samuel Rosén; [2023]
   Keywords : HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

   Abstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE