Essays about: "realized volatility"

Showing result 1 - 5 of 59 essays containing the words realized volatility.

1. 1. Network Connectedness in Financial Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrea Marcolini; [2024]
   Keywords : Systemic risk modeling; US REITs connectedness; S P 500 connectedness; Returns and realized volatilities prediction;

   Abstract : This paper is a collection of two different theses discussing the prediction of the returns and volatilities of the S&P 500 constituents and of US Real Estate Investment Trusts (REITs) by analyzing their centrality within the financial market network. Both empirical works summarize the relevant financial and network literature, demonstrating how modeling stock connectedness within financial markets makes it possible to create returns and volatility predictors, improving investors' portfolio allocations and achieved investment Sharpe ratios. READ MORE

3. 2. Volatility Forecasting - A comparative study of different forecasting models.

   University essay from

   Author : Emil Sturesson; Anton Wennström; [2023-06-29]
   Keywords : Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

   Abstract : 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

4. 3. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether

   University essay from Göteborgs universitet/Graduate School

   Author : Johannes Marmdal; Adam Törnqvist; [2023-06-29]
   Keywords : Forecast; Volatility; Ether; GARCH; EWMA; SMA;

   Abstract : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. READ MORE

5. 4. 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

6. 5. Does Implied- or Historical Volatility predict Realized Volatility? : An empirical study conducted to find evidence for which out of historical volatility or implied volatility better forecasts the future volatility.

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Gustav Sjöberg; Gustav Oom; [2023]
   Keywords : Implied volatility; historical volatility; realized volatility;

   Abstract : This study tests if historical volatility- and implied volatility has significant predictive power over future realized volatility and if so which one of the two is the superior predictor. The study is conducted by using historical volatility of the OMXS30 and implied volatility from OMXS30 call options during the period 2012-2023. READ MORE