Essays about: "ewma"

Showing result 1 - 5 of 25 essays containing the word ewma.

  1. 1. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Abstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE

  2. 2. Preprocessing Data: A Study on Testing Transformations for Stationarity of Financial Data

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Sara Barwary; Tina Abazari; [2019]
    Keywords : Bachelor Thesis; financial outcome; transformations; stationarity; tests of hypothesis; EWMA; Kandidatarbete; finansiell avkastning; transformationer; stationäritet; hyoptestest; EWMA;

    Abstract : In thesis within Industrial Economics and Applied Mathematics in cooperation with Svenska Handelsbanken given transformations was examined in order to assess their ability to make a given time series stationary. In addition, a parameter α belonging to each of the transformation formulas was to be decided. READ MORE

  3. 3. Implementation of Anomaly Detection on a Time-series Temperature Data set

    University essay from Malmö universitet/Teknik och samhälle

    Author : Jelena Novacic; Kablai Tokhi; [2019]
    Keywords : machine learning; anomaly detection; linear regression; exponentially weighted moving average; EWMA; probabilistic exponentially weighted moving average; PEWMA; time-series data set;

    Abstract : Aldrig har det varit lika aktuellt med hållbar teknologi som idag. Behovet av bättre miljöpåverkan inom alla områden har snabbt ökat och energikonsumtionen är ett av dem. En enkel lösning för automatisk kontroll av energikonsumtionen i smarta hem är genom mjukvara. READ MORE

  4. 4. Anomaly Detection for Portfolio Risk Management : An evaluation of econometric and machine learning based approaches to detecting anomalous behaviour in portfolio risk measures

    University essay from KTH/Nationalekonomi

    Author : Simon Westerlind; [2018]
    Keywords : Anomaly detection; Outlier Detection; Portfolio management; Risk management; Value-at-Risk; HTM; EWMA; ARIMA; LSTM; GARCH; Anomalidetektering; Avvikelsedetektering; Portföljhantering; Riskhantering; Valueat-Risk; HTM; EWMA; ARIMA; LSTM; GARCH;

    Abstract : Financial institutions manage numerous portfolios whose risk must be managed continuously, and the large amounts of data that has to be processed renders this a considerable effort. As such, a system that autonomously detects anomalies in the risk measures of financial portfolios, would be of great value. READ MORE

  5. 5. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Johan Röring; [2017]
    Keywords : ;

    Abstract : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. READ MORE