OSUVA - Selaus asiasanan "GARCH" mukaan
Aineistot 1-14 / 14
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Calendar Effects in the World Stock Markets: Evidence from Thirty-One Countries
(2011)
Pro gradu - tutkielmaCapital market efficiency has been a popular topic for teaching and empirical research since Fama (1965, 1970) described the theoretical analysis of market efficiency (Efficient Market Hypothesis). More recently, however ... -
Evaluation of Volatility Forecasting Models in Vietnam Stock Markets
(2011)
Pro gradu - tutkielmaThis study aims to find the most appropriate model(s) to estimate and forecast volatility in Vietnam stock markets. Considered volatility models in this study include RiskMetrics, GARCH, EGARCH, IGARCH, FIGARCH and APARCH. ... -
Evaluation of Volatility Models: Evidence from Chinese Equity Markets
(2017)
Pro gradu - tutkielmaThis thesis aims to find the most appropriate model to estimate and forecast volatility in Chinese stock markets, and to investigate the differences between simple historical models and GARCH-type models. The studied ... -
FORECASTING CRUDE OIL MARKET VOLATILITY: TEST OF SYMMETRIC AND ASYMMETRIC GARCH–TYPE MODELS
(2006)
Pro gradu - tutkielmaThe purpose of this thesis is to compare the predictive power of three different volatility forecasting models on Brent Crude Oil Index data under two different market conditions. The models included are GARCH, TARCH, and ... -
FORECASTING NORD POOL ELECTRICITY MARKET VOLATILITY: TEST OF SYMMETRIC AND ASYMMETRIC GARCH-TYPE MODELS
(2010)
Pro gradu - tutkielmaThe purpose of this thesis is to compare the predictive power of three different GARCH-type volatility forecasting models on recently deregulated Nordic electricity market. The models included are GARCH, TARCH and EGARCH. ...Kokoteksti luettavissa vain Tritonian asiakaskoneilla. -
FORECASTING STOCK MARKET VOLATILITY:
(2008)
Pro gradu - tutkielmaThe purpose of this thesis is to investigate and evaluate the GARCH, Threshold GARCH (GJR), Exponential GARCH (EGARCH), GARCH based on student t distribution and GARCH based on generalized error distribution models on ...Kokoteksti luettavissa vain Tritonian asiakaskoneilla. -
Kokonaistuotannon ja osakemarkkinavolatiliteetin yhteys Suomen osakemarkkinoilla 1995-2004
(2006)
Pro gradu - tutkielmaTässä tutkielmassa tarkastellaan OMXHelsinki 25—osakeindeksin ja Suomen kokonaistuotannon välistä yhteyttä aikavälillä 1995—2004. Tutkielmassa tutkitaan onko toteutunut kokonaistuotannon kasvu merkitsevä selittäjä kyseisen ...Kokoteksti luettavissa vain Tritonian asiakaskoneilla. -
On the Predictability of Stock Market Volatility: Implied vs. Historical Volatility
(2002)
Pro gradu - tutkielmaThe purpose of this study is to examine the performance of various volatility forecasting models in the Finnish stock market. Moreover, this study aims to answer the question, whether the option implied volatility forecasts ... -
Stock Return and Volatility: An empirical study in the Chinese stock market context
(2002)
Pro gradu - tutkielmaFrequently observed evidence strengthens the findings about stock returns exhibiting heteroscedasticity and autocorrelation. ARCH effects have been found in security markets along with an abnormal unconditional sampling ... -
Stock Return and Volatility: An empirical study in the Chinese stock market context
(2001)
Pro gradu - tutkielmaFrequently observed evidence strengthens the findings about stock returns exhibiting heteroscedasticity and autocorrelation. ARCH effects have been found in security markets along with an abnormal unconditional sampling ... -
USA:n makrouutisten ja keskuspankin korkopäätösten vaikutus Latinalaisen Amerikan kehittyvien osakemarkkinoiden volatiliteetteihin
(2011)
Pro gradu - tutkielmaTutkielman tarkoitus on selvittää USA:n makrouutisten ja keskuspankin (FED) korkopäätösten vaikutus Latinalaisen Amerikan osakemarkkinoiden volatiliteetteihin. Tutkittavat markkinat ovat: Argentiina, Brasilia, Chile, Meksiko ...Kokoteksti luettavissa vain Tritonian asiakaskoneilla. -
Volatility and return relationship – a case of Nordic stock market
(2018)
Pro gradu - tutkielmaThis study investigates the relation of risk-return of four Nordic stock market’s indices – OMX Copenhagen, OMX Helsinki, OMX Stockholm and Oslo Exchange All Shares from January 1996 to February 2017. EGARCH and GARCH model ... -
Volatility Forecasting and the Efficiency of the Finnish Option Index Market
(2005)
Pro gradu - tutkielmaThe purpose of this thesis is to compare the predictive power of different volatility forecasting models and to study whether the Finnish option index market is informationally efficient. Volatility forecasting plays an ... -
Öljymarkkinoilla ja Euroopan osakemarkkinoilla esiintyvän epävarmuuden vaikutus päästöoikeuden hinnan volatiliteettiin
(2020)
Pro gradu -tutkielmaPäästökaupan tarkoituksena on asettaa hiilelle hinta, jotta kasvihuonekaasupäästöistä aiheutuvat, negatiiviset ulkoisvaikutukset – kuten ilmaston lämpeneminen – saadaan sisällytettyä markkinoille. Euroopan unionin ...
