Essays about: "conditional volatility"

Showing result 21 - 25 of 100 essays containing the words conditional volatility.

1. 21. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

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

   Author : Evelyn Dela Gbadago; [2021]
   Keywords : Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

   Abstract : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. READ MORE

3. 22. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges

   University essay from Göteborgs universitet/Graduate School

   Author : Mohammad Rashidi Ranjbar; [2020-07-08]
   Keywords : Bitcoin; Volatility Modelling; GAS; GARCH; Realized GARCH; Coinbase; Bitfinex; Bitstamp;

   Abstract : Different characteristics of cryptocurrencies have been investigated by a number of studies. In this study, I focus on conditional volatility of Bitcoin in three exchanges which are Coinbase, Bitfinex and Bitstamp. READ MORE

4. 23. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

   University essay from Umeå universitet/Företagsekonomi

   Author : Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
   Keywords : Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

   Abstract : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. READ MORE

5. 24. Estimating Risk Using Stochastic Volatility Models and Particle Stochastic Approximation Expectation Maximization

   University essay from Lunds universitet/Matematisk statistik

   Author : Henrik Kragh; [2020]
   Keywords : Mathematics and Statistics;

   Abstract : In this thesis several stochastic volatility models are presented and used to estimate the risk of a collection of Swedish stocks, as well as of a portfolio consisting of said stocks. Model parameters are estimated using the PSAEM algorithm. READ MORE

6. 25. The Effect of House Price Risk on Homeowners' Portfolio Choice

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Yuhuang Sun; [2020]
   Keywords : Household finance; House price risk; Limited stock market participation; Hedging motive;

   Abstract : Using the 2017 wave of China Household Finance Survey (CHFS), this paper studies how house price risk affects homeowners' stock market participation and share of liquid financial wealth invested in stocks conditional on not moving. Exploiting the subsample of homeowners whose tenure choices are exogenous due to the institutional changes during the Chinese housing market privatization, this study finds that the correlation between housing return and stock return has a crowding-out effect on both stock market participation and stock shares among participants. READ MORE