Essays about: "out-of-sample forecasts"
Showing result 1 - 5 of 42 essays containing the words out-of-sample forecasts.
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1. Volatility Forecasting - A comparative study of different forecasting models.
University essay fromAbstract : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. READ MORE
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2. Forecasting Monthly Swedish Air Traveler Volumes
University essay from Uppsala universitet/Statistiska institutionenAbstract : In this paper we conduct an out-of-sample forecasting exercise for monthly Swedish air traveler volumes. The models considered are multiplicative seasonal ARIMA, Neural network autoregression, Exponential smoothing, the Prophet model and a Random Walk as a benchmark model. READ MORE
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3. Forecasting Swedish Inflation and Policy Rates Using Random Forests and Bullard's Modernized Taylor Rule
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This paper examines whether the Riksbank could have predicted the historic inflationary surge in Sweden in the aftermath of the Covid-19 pandemic and warned the Swedish public prior to embarking on the most aggressive policy rate-hike cycle since the global financial crisis. I study the matter in two steps. READ MORE
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4. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series
University essay from KTH/Matematik (Avd.)Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE
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5. The efficiency of Hyndman-Ullah methods in case of populations with abnormal short-term increases of mortality rates due to wars and pandemics.
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : This report is written with the goal of analyzing the efficiency of the Hyndman-Ullah (HU) and weighted Hyndman-Ullah (wHU) methods when working with the populations that suffered higher mortalities due to the wars and pandemics. Accordingly, the HU and wHU methods are applied to the training sets containing outlying years. READ MORE