Improving Volatility Predictions from Search Queries
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
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.
Other Social Sciences not elsewhere specified
IdentifiersURN: urn:nbn:se:uu:diva-210318OAI: oai:DiVA.org:uu-210318DiVA: diva2:662008
Subject / course
Forsberg, Lars, Lektor
Larsson, Rolf, Professor