Browsing Master theses by Subject "GARCH"
Now showing items 1-5 of 5
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Bear Periods Amplify Correlation: A GARCH BEKK Approach
(2010-06-24)The aim of this paper is to see how correlation changes across time across different indices. We have used a sufficiently large benchmark period of 20 years to have a better understanding as to how correlations1have changed. ... -
Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether
(2023-06-29)This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both ... -
GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges
(2020-07-08)Different characteristics of cryptocurrencies have been investigated by a number of studies. In this study, I focus on conditional volatility of Bitcoin in three exchanges which are Coinbase, Bitfinex and Bitstamp. I ... -
Nordic Financial Market Integration: An Analysis with GARCH Modeling
(2005)This thesis investigates the financial integration of the Nordic stock markets by studying the return-spillover effects across countries. Three related hypotheses are addressed. Firstly, the increasingly documented ... -
A time series analysis of the impact of the COVID-19 pandemic on container shipping freight rates: An application to the Asia-Europe trade route
(2022-08-03)The outbreak of the COVID-19 pandemic caused a sudden disruption to the shipping industry. However, for container shipping, freight rates have reached record highs during the pandemic. Shipping companies realise that ...