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Volatility Forecasting in Bull & Bear Markets

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Title: Volatility Forecasting in Bull & Bear Markets
Authors: Ekvall, Karl Oskar
Issue Date: 25-Jul-2012
Degree: Master 2-years
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



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