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Showing 1 to 20 of 203 for “"GARCH"”.
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Estimation of the linkage matrix in O-GARCH model and GO-GARCH model
We propose new estimation methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The …
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Risk neutral measures and GARCH model calibration
Empirical studies have shown that GARCH models can be successfully used to describe option prices. Pricing such option contracts requires the risk neutral return dynamics of underlying asset. Since under the GARCH framework the market is incomplete, there is more than one risk neutral measure. In …
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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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Application of GARCH Type Models in Forecasting Value at Risk
… four conditional volatility forecasting models: GARCH, TGARCH, GJRGARCH, and IGARCH, and compares the forecasting output of the suggested GARCH-based volatility models. Since the predictive accuracy of Value-at-Risk (VaR) models is crucial for adequate capitalization, we perform backtesting on …
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Optimization Of The GARCH Model Parameters Using A Genetic Algorithm
… series eventually led to the creation of the GARCH model. Typical GARCH parameters are (1,1) incorporating a 1-period lag of the regression residual as well as a 1-period lag of the regression volatility. The primary question investigated in this paper is whether the typical GARCH(1,1) …
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Pronóstico de volatilidad de la TRM mediante un modelo híbrido LSTM-GARCH
En este trabajo se propone un modelo híbrido LSTM-GARCH para el pronóstico de la volatilidad de la tasa representativa del mercado (TRM). Este modelo es una red neuronal recurrente LSTM, en la cual se incluyen como variables explicativas los coeficientes de modelos de series de tiempo GARCH, EGARCH …
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A multivariate GARCH model for the non-normal behaviour of financial assets
This thesis extends the dynamic conditional correlation (DCC) model proposed in Engle (2002) to the case of conditional returns supposed to follow an asymmetric multivariate Laplace (AML) distribution as presented in Kotz, Kozubowsky and Podgorski (2003). We prove that maximum likelihood estimator …
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An object-oriented, maximum-likelihood parameter estimation program for GARCH(p,q)
Thesis (M.Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1999.
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Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
… of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate the unknown …
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Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction
… the adequacy and effectiveness of univariate GARCH models such as the symmetric GARCH and a few other variations such as the EGARCH, TARCH and PARCH in modelling volatility in monthly returns of stocks traded on the Johannesburg Stock Exchange. This is further used to investigate the …
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An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1991.
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Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
… In this thesis, use is made of various GARCH models that are evaluated using both in-sample and out-of-sample criteria.
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A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
… is an investigation into the performance of GARCH-based VaR models on the South African FTSE/JSE Top 40 Index. Specifically, this paper investigates whether stability has returned to the VaR measure following its poor performance during the latest global financial crisis (2007). GARCH models …
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An Investigation into the suitability of using GARCH process for pricing options on the SAFEX all share index futures contracts
This thesis primarily sets out to investigate the possibility of incorporating autoregressive conditional heteroskedasticity (ARCH) assumptions in an option-valuation model for All Share Index option contracts, as an alternative to the constant variance assumption required by the Black-Scholes …
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Essays on International Finance
… third essay analyzes empirically the issues of GARCH effects in six stock market index return series, namely the DJIA, IBOVESPA, IPC, KOSPI200, SBF 120, and TSE300. Our results show that trading volume has a limited role in explaining GARCH effects in all six series. This is because volume does …
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An evaluation of univariate time-series models of quarterly earnings per share and their generalization to models with autoregressive conditionally heteroscedastic disturbances
… in the residual variance to be modeled by the GARCH procedure. The results of statistical analyses indicate the presence of GARCH effect in the residuals generated from ARIMA models for quarterly EPS. Furthermore, based on Akaike's information criterion, modeling the GARCH effect appears to be …
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