Essays about: "t-GAS"

Found 2 essays containing the word t-GAS.

  1. 1. 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

  3. 2. 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