Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"Asymmetric GARCH models"”.
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Evaluating value at risk models: an application to the Johannesburg Stock Exchange
… the performance of some of the most popular VaR models using the JSE ALSI's total daily returns. The VaR estimates were calculated for each model using varying parameters for confidence level, risk horizon, distributional assumptions and other variables. The study evaluates the relative accuracy …
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A Study on GARCH volatility processes in pricing derivatives
In this thesis the GARCH models are applied to evaluate financial options and futures. In the first application, the GARCH models in parsimonious form are studied for pricing the S&P500 options. Unlike previous studies that focus on developed formulation, the results indicate that simplified models …
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Market Efficiency and Volatility Spillovers in the Amman Stock Exchange: A Sectoral Analysis
… Autoregressive Conditional Heteroscedasticity (GARCH) model to test for time-varying variance and correlations between sectoral index returns in the ASE. This thesis tries to fill this gap in the literature by investigating market efficiency in the ASE using the new sectoral classification and …