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Improving Volatility Predictions from Search Queries
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis investigates the possibility of improving forecasts of volatility in Scandinavian stock indexes using information from internet search queries. The GARCH framework is used to model volatility; specifically the GARCH(1,1) model is used to obtain estimates and forecasts. To test if there exists causality between the different time series the Granger causality test is used.

Place, publisher, year, edition, pages
2012. , 25 p.
National Category
Other Social Sciences not elsewhere specified
Identifiers
URN: urn:nbn:se:uu:diva-210318OAI: oai:DiVA.org:uu-210318DiVA: diva2:662008
Subject / course
Statistics
Educational program
Ekonomie kandidatprogrammet
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Available from: 2013-11-06 Created: 2013-11-05 Last updated: 2013-11-27Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
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