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Modeling volatility for the Swedish stock market
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis will investigate if adding an exogenous variable (implied volatility) to the variance equation will increase the performance for the GARCH(1,1) and EGARCH(1,1) models based on the OMXS30 index. These models are also compared with the implied volatility itself as a forecasting/modeling method. To evaluate the models the realized variance will be used as an unbiased estimator of the conditional variance. The findings suggest that adding implied volatility to the variance equation increase the overall performance.

Place, publisher, year, edition, pages
2016. , 28 p.
Keyword [en]
GARCH, Conditional variance, Realized variance, Implied volatility, Forecasting volatility, Heteroskedasticity, Time series
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-275065OAI: oai:DiVA.org:uu-275065DiVA: diva2:898640
Subject / course
Statistics
Supervisors
Examiners
Available from: 2016-02-10 Created: 2016-01-28 Last updated: 2016-02-10Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf