Essays about: "volatility forecasting S P 500 index"

Showing result 1 - 5 of 9 essays containing the words volatility forecasting S P 500 index.

  1. 1. Volatility Forecasting using GARCH Processes with Exogenous Variables

    University essay from KTH/Matematisk statistik

    Author : Ellis Larson; [2022]
    Keywords : Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Abstract : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. READ MORE

  3. 2. Option strategies using hybrid Support Vector Regression - ARIMA

    University essay from KTH/Matematisk statistik

    Author : Negin Nayeri; [2020]
    Keywords : ;

    Abstract : In this thesis, the use of machine learning in option strategies is evaluated with focus on the S&P 500 Index. The first part of the thesis focuses on testing the performance power of the Support Vector Regression (SVR) method for the historical realized volatility with a window of 20 days. READ MORE

  4. 3. Stock market forecasting:investigation of a relationshipbetween GDP per capita and stockmarket volatility : A statistical study based on the GARCH(1,1)model

    University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

    Author : Jacqueline Eriksson; Mitra Strandberg; [2015]
    Keywords : ;

    Abstract : Stock market indexes such as S&P 500 depends on many different variables, such as macroeconomic variables, causing the volatility to appear random. Getting a close estimation of the volatility is of high interest when making investments. READ MORE

  5. 4. Evaluating Switching GARCH Volatility Forecasts During the Recent Financial Crisis

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Viktor Augustsson; [2014]
    Keywords : MRS-GARCH; Out of Sample Evaluation; DM Test; Bombay Sensex; Standard Poor s 500; Business and Economics;

    Abstract : Forecasting volatility is a fundamental topic in in both academic and applied financial economics. Different GARCH-specifications are by far the most popular model based approach used for this purpose. This thesis evaluates the forecast accuracy of some specific GARCH-models; GARCH, EGARCH, APGARCH and MRS-GARCH. READ MORE

  6. 5. The Dynamics of the Variance Risk Premium: Refining Volatility Forecasts and Portfolio Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fredrik Iversen; Andreas Rueckert; [2014]
    Keywords : Volatility forecasting; Variance risk premium; Implied Volatility; Realized Kernel;

    Abstract : In this paper, we investigate the dynamics of the variance risk premium and whether it can be used to achieve incremental predictability of future volatility on the S&P 500 index. Previous studies have focused on the usefulness of implied volatility in volatility forecasting. READ MORE