Please use this identifier to cite or link to this item:
|Title:||Volatility Forecasting in Bull & Bear Markets|
|Authors:||Ekvall, Karl Oskar|
|Series/Report no.:||Master Degree Project|
|Abstract:||This thesis considers the performance of variance forecasting in bull and bear markets. Three asset indices, the DAX, the Standard & Poor’s 500 and the CurrencyShares Euro Trust, are split into bull and bear periods whereby variance forecasting is evaluated in the two states. I employ a simple moving average, an EWMA, implied volatilities from official volatility indices and three GARCH specifications; a GARCH (1,1) and EGARCH(1,1) with Student’s t errors and a GARCH (1,1) with Hansen’s skewe... more|
|Description:||MSc in Finance|
|Appears in Collections:||Master theses|
This item has been viewed 214 times.