Essays about: "stock indices arch"
Showing result 1 - 5 of 7 essays containing the words stock indices arch.
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1. Bitcoin is not the New Gold: Evidence from the Covid-19 Pandemic
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The recent market turmoil, caused by the Covid-19 pandemic, has negatively influenced the financial markets all over the world. Therefore, the search for safe haven assets by investors is of great importance. In this area of research, gold has for a long time been considered to be the traditional safe haven asset. READ MORE
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2. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : 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
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3. Predicting Stock Index Volatility Using Artificial Neural Networks: An empirical study of the OMXS30, FTSE100 & S&P/ASX200
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this thesis I study the performances of artificial neural networks (ANNs) and three various ARCH-type models to predict weekly volatility of the Swedish (OMXS30), the British (FTSE100) and the Australian (S&P/ASX200) major stock indices. The three various ARCH-type models are the GARCH(1,1), the EGARCH(1,1) and the TGARCH(1,1). READ MORE
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4. Forecast Precision of Value at Risk: An Evaluation of ARCH-Type Models
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi; Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Over the recent years, value at risk has become an industry standard for measuring downside market risk. This thesis aims to give a thorough differentiation between the different types of models used to estimate value at risk. READ MORE
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5. Forecasting value at risk in the Swedish stock market - an investigation of GARCH volatility models
University essay from Uppsala universitet/Nationalekonomiska institutionenAbstract : The purpose of this thesis was to investigate various conditional volatility models commonly used in forecasting financial risk within the field of Financial Econometrics. The GARCH, the GJR-GARCH and the T-GARCH models were examined. READ MORE
