Essays about: "tGARCH"

Showing result 1 - 5 of 15 essays containing the word tGARCH.

  1. 1. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hannes Wiklund; [2022]
    Keywords : GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Abstract : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. READ MORE

  3. 2. Comparison of impact on stock market volatility by COVID-19 and the 2008 financial crisis

    University essay from Umeå universitet/Nationalekonomi

    Author : Anand Enkhtur; [2022]
    Keywords : ;

    Abstract : The aim of this thesis is to analyse the volatility of 11 sectorial stock return data of S&P 500 Index during the 2008 global financial crisis and the recent COVID-19 global pandemic. S&P 500 is a large stock market index that tracks the performance of 500 companies that are some of the largest in the world. READ MORE

  4. 3. Safe Haven Assets During the COVID-19 Pandemic : a study of safe haven aspects of gold and Bitcoin in U.S. financial markets

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

    Author : Erik Melin; Albert Pettersson; [2022]
    Keywords : TGARCH; GARCH; ARCH-LM; COVID-19; Gold; Bitcoin; Safe Haven; Hedge; Diversifier;

    Abstract : This paper explores the possibility of gold and Bitcoin acting as safe haven investments during the Corona pandemic. To answer the research question the authors use OLS-, GARCH-, and TGARCH-models. The S&P 500 stock- and S&P U.S. READ MORE

  5. 4. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance

    University essay from Umeå universitet/Nationalekonomi

    Author : Simon Molin; [2021]
    Keywords : ;

    Abstract : Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. READ MORE

  6. 5. The Impact of Pandemic Shocks to the Stock Market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Dominika Borkowska; Kabing Hau; [2020]
    Keywords : Stock Market; Volatility; COVID-19; Pandemic Shocks; GARCH; TGARCH; Business and Economics;

    Abstract : The outbreak of the COVID-19 pandemic in November 2019, has made a huge impact on the stock market. Thus, this paper aims to analyze how big of an impact the pandemic shocks have compared to other known shocks on the market. READ MORE