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Volatility Modelling of Asset Prices using GARCH Models
Linköping University, Department of Electrical Engineering.
2003 (English)Independent thesis Basic level (professional degree)Student thesisAlternative title
Volatilitets prediktering av finansiella tillgångar med GARCH modeller som ansats (Swedish)
Abstract [en]

The objective for this master thesis is to investigate the possibility to predict the risk of stocks in financial markets. The data used for model estimation has been gathered from different branches and different European countries. The four data series that are used in the estimation are price series from: Münchner Rück, Suez-Lyonnaise des Eaux, Volkswagen and OMX, a Swedish stock index. The risk prediction is done with univariate GARCH models. GARCH models are estimated and validated for these four data series.

Conclusions are drawn regarding different GARCH models, their numbers of lags and distributions. The model that performs best, out-of-sample, is the APARCH model but the standard GARCH is also a good choice. The use of non-normal distributions is not clearly supported. The result from this master thesis could be used in option pricing, hedging strategies and portfolio selection.

Place, publisher, year, edition, pages
Institutionen för systemteknik , 2003. , 84 p.
Series
LiTH-ISY-Ex, 3364
Keyword [en]
Reglerteknik, GARCH models, risk prediction, system identification and econometrics
Keyword [sv]
Reglerteknik
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-1625OAI: oai:DiVA.org:liu-1625DiVA: diva2:18949
Uppsok
teknik
Available from: 2003-03-18 Created: 2003-03-18

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf