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Tesis sobre el tema "GARCH analysis"

Autor: Grafiati
Publicado: 4 de junio de 2021
Última modificación: 20 de febrero de 2023

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1

許偉才 and Wai-choi Hui. "Optimal asset allocation under GARCH model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31222717.

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2

Hui, Wai-choi. "Optimal asset allocation under GARCH model /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2160616X.

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3

Khalilzadeh, Amir Hossein. "Variance Dependent Pricing Kernels in GARCH Models." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-180373.

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4

Sze, Mei Ki. "Mixed portmanteau test for ARMA-GARCH models /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20SZE.

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5

ARAUJO, GUSTAVO SILVA. "ANALYSIS OF THE GARCH OPTION PRICING MODEL USING TELEBRAS CALLS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2002. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3343@1.

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Este trabalho procura confirmar a hipótese de o modelo de apreçamento de opções GARCH reduzir alguns dos já amplamente estudados vieses do modelo de Black & Scholes, utilizando opções de compra da Telebras no período julho de 1995 a junho de 2000. Para isso, comparam-se os preços encontrados por intermédio do modelo GARCH com os do modelo de Black & Scholes, cotejando-os com os preços de mercado. Os resultados indicaram que o modelo GARCH foi capaz de diminuir alguns dos vieses, principalmente para opções fora- do-dinheiro com curto tempo para o vencimento. Desta forma, o modelo GARCH
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6

De, Wet Walter Albert. "A structural GARCH model an application to portfolio risk management /." Pretoria : [s.n.], 2005. http://upetd.up.ac.za/thesis/available/etd-04132005-143137.

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7

Yuan, Huimin. "Analysis of Fractionally Differenced Processes with Heteroscedastic Errors." Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/18585.

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The prime goal of this research is to model the long-range dependency and volatility factors fitting in fractionally differenced ARMA (ARFIMA) and Gegenbauer ARMA processes (GARMA) in financial time series. This extends the efficiency in computing the exact maximum likelihood established by Sowell through conditional quasi maximum likelihood (QMLE) for ARFIMA and GARMA with conditional heteroscedastic errors. In particular, an extended algorithm together with corresponding asymptotic results of QMLE estimators are presented. The Monte Carlo simulation methods are used to study asymptotic prope
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8

Fučík, Vojtěch. "Principal component analysis in Finance." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264205.

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The main objective of this thesis is to summarize and possibly interconnect the existing methodology on principal components analysis, hierarchical clustering and topological organization in the financial and economic networks, linear regression and GARCH modeling. In the thesis the clustering ability of PCA is compared with the more conventional approaches on a set of world stock market indices returns in different time periods where the time division is represented by The World Financial Crisis of 2007-2009. It is also observed whether the clustering of DJIA index components is underlied by
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9

Liu, Qingfeng. "Econometric methods for market risk analysis : GARCH-type models and diffusion models." Kyoto University, 2007. http://hdl.handle.net/2433/136053.

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10

Ozkan, Pelin. "Analysis Of Stochastic And Non-stochastic Volatility Models." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605421/index.pdf.

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Changing in variance or volatility with time can be modeled as deterministic by using autoregressive conditional heteroscedastic (ARCH) type models, or as stochastic by using stochastic volatility (SV) models. This study compares these two kinds of models which are estimated on Turkish / USA exchange rate data. First, a GARCH(1,1) model is fitted to the data by using the package E-views and then a Bayesian estimation procedure is used for estimating an appropriate SV model with the help of Ox code. In order to compare these models, the LR test statistic calculated for non-nested hypotheses is
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11

Boerlin, Christoph. "Robustness Issues in the Statistical Analysis of GARCH Processes with Applications to Finance." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01648856002/$FILE/01648856002.pdf.

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12

Loh, Lixia. "Volatility spillovers in Asian bond markets: comparative analysis using GARCH and wavelet methods." Thesis, University of Nottingham, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.493339.

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This thesis uses GARCH and wavelets methods to study the volatility spillovers from other financial markets into the Asian local currency bond markets. The cross-border analysis focuses on volatility spillover effects from the Japanese and US bond markets to the Asian bond market. The cross-market analysis focuses on the volatility spillover effects from the foreign exchange and stock markets to the Asian bond markets. We have shown that by using wavelets to derive volatility, the volatility spillovers can be captured more effectively than by using the more complex multivariate GARCH-based mod
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13

Li, Dan. "Efficient Bayesian estimation for GARCH-type models via sequential Monte Carlo." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/180752/1/Dan_Li_Thesis.pdf.

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This thesis develops a new and principled approach for estimation, prediction and model selection for a class of challenging models in econometrics, which are used to predict the dynamics of the volatility of financial asset returns. The results of both the simulation and empirical study in this research showcased the advantages of the proposed approach, offering improved robustness and more appropriate uncertainty quantification. The new methods will enable practitioners to gain more information and evaluate different models' predictive performance in a more efficient and principled manner, f
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14

Zhou, Jin Shun. "Transmission of equity returns and volatility in Asia-Pacific markets : a multivariate GARCH analysis." Thesis, University of Macau, 2009. http://umaclib3.umac.mo/record=b1951112.

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15

Letra, Ivo José Santos. "What drives cryptocurrency value? A volatility and predictability analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12556.

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Mestrado em Decisão Económica e Empresarial<br>Esta tese descreve como as moedas digitais se tornaram no novo fenómeno nos mercados financeiros e como a mais popular das moedas digitais - Bitcoin - originou perguntas cruciais sobre o seu valor e como ao mesmo tempo as suas séries financeiras criaram uma oportunidade para estudar várias dinâmicas sobre o preço, que tipicamente estão fortemente ligadas a movimentos especulativos e sem análise fundamental. Com a utilização de um modelo GARCH(1,1) sobre dados diários e centrando-se em dois fenómenos recentes - moedas digitais, nomeadamente Bitcoi
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16

Xie, Yingfu. "Maximum likelihood estimation and forecasting for GARCH, Markov switching, and locally stationary wavelet processes /." Umeå : Dept. of Forest Economics, Swedish University of Agricultural Sciences, 2007. http://epsilon.slu.se/2007107.pdf.

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17

BRITO, Leonardo Mendes Primo. "A risk analysis of the brazilian stock market using value-at-risk and GARCH models." Universidade Federal de Pernambuco, 2016. https://repositorio.ufpe.br/handle/123456789/17390.

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Submitted by Isaac Francisco de Souza Dias (isaac.souzadias@ufpe.br) on 2016-07-14T17:30:09Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) DISSERTAÇÃO Leonardo Mendes Primo Brito.pdf: 9894168 bytes, checksum: 744a23c4dfd0eacd1c0d7c83e27bc6a6 (MD5)<br>Made available in DSpace on 2016-07-14T17:30:10Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) DISSERTAÇÃO Leonardo Mendes Primo Brito.pdf: 9894168 bytes, checksum: 744a23c4dfd0eacd1c0d7c83e27bc6a6 (MD5) Previous issue date: 2016-02-24<
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18

Harrisberg, Richard. "An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange." Master's thesis, Faculty of Commerce, 2019. https://hdl.handle.net/11427/31727.

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The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addi
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19

Ozdemir, Duygu. "Stock Market Liquidity Analysis: Evidence From The Istanbul Stock Exchange." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613789/index.pdf.

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The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is confirmed, while the negative effect of the volatility on liquidity appears one-week lat
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20

Elgammal, Mohammed. "An empirical analysis of the relationship between the value premium and financial distress within a GARCH framework." Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=137007.

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This thesis provides an empirical analysis of the relationship between the value premium and financial distress. Measures of leverage and default are used as proxies for financial distress. Using both an international data set, 1991 to 2006 and a long time series data set for the United States, 1927 – 2007, the thesis adds knowledge about the role of the value premium in asset pricing theory. Generalised autoregressive conditional heteroscedastic modelling (GARCH) is used and information gathered on the volatility of the value premium. A vector autoregressive (VAR) framework and Granger Causal
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21

Selik, Michael Andrew. "Analysis of four alternative energy mutual funds." Thesis, Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/37236.

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We analyze four alternative energy mutual funds using a multi-factor capital asset pricing model with generalized autoregressive conditionally heteroskedastic errors (CAPM-GARCH). Our findings will help portfolio managers and others who seek to predict the return on investment in alternative energy firms. We find that alternative energy firms tend to be riskier than the general US stock market, have a low, but significant and positive response to oil prices, and have a significantly high and negative response to the value of the dollar relative to other currencies. Our results also suggest tha
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22

MAHAJAN, SHRIRANG A. "ANALYSIS OF VALUE AT RISK MODELS BASED ON THE SHANGHAI STOCK INDEX." University of Cincinnati / OhioLINK, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1069768595.

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23

Niklewski, Jacek. "Multivariate GARCH and portfolio optimisation : a comparative study of the impact of applying alternative covariance methodologies." Thesis, Coventry University, 2014. http://curve.coventry.ac.uk/open/items/a8d7bf49-198d-49f2-9894-12e22ce2d7f1/1.

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This thesis investigates the impact of applying different covariance modelling techniques on the efficiency of asset portfolio performance. The scope of this thesis is limited to the exploration of theoretical aspects of portfolio optimisation rather than developing a useful tool for portfolio managers. Future work may entail taking the results from this work further and producing a more practical tool from a fund management perspective. The contributions made by this thesis to the knowledge of the subject are that it extends literature by applying a number of different covariance models to a
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24

Duarte, Felipe Machado. "Acurácia de previsões para vazão em redes: um comparativo entre ARIMA, GARCH e RNA." Universidade Federal de Pernambuco, 2014. https://repositorio.ufpe.br/handle/123456789/16238.

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Submitted by Fabio Sobreira Campos da Costa (fabio.sobreira@ufpe.br) on 2016-03-31T15:28:38Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Felipe Machado Duarte.pdf: 1439236 bytes, checksum: 970d1a4b49da9d4541eb167aa39a82fa (MD5)<br>Made available in DSpace on 2016-03-31T15:28:39Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Felipe Machado Duarte.pdf: 1439236 bytes, checksum: 970d1a4b49da9d4541eb167aa39a82fa (MD5) Previous issue date: 2014-08-29<br>Em consequência da evolução da internet
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25

Amadu, Abubakari, and Samarai Alexandre Al. "Swedish Sustainability Trend : Empirical analysis on the volatility effect of sustainable news on Swedish oil companies using GARCH 1.1." Thesis, Umeå universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-142083.

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Purpose The main purpose of this thesis was to evaluate the investment attractiveness of oil and gas stocks (registered on Nasdaq Stockholm) in face of the increasing campaigns for the adoption of clean energy. The findings can help in the formulation of relevant policy implications on the campaign for a cleaner environment Design/Methodology/Approach The authors assume positivism and objectivity as the philosophical aspects for the purpose of this study. Following these initial considerations, the nature of the study was adopted as quantitative. This follows a longitudinal design and a dedu
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26

Muzinda, Edmond Toreva. "The impact of good news and bad news on South Africa’s sectoral stock return volatility: an asymmetric GARCH analysis." Thesis, Rhodes University, 2017. http://hdl.handle.net/10962/6425.

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This study explores the impact of good news and bad news on South Africa’s sectoral stock return volatility using an asymmetric GARCH analysis. Understanding the different impact of news on stock return volatility in different economic sectors has important implications for investors’ risk management practices, portfolio allocation strategies and asset pricing. The study employs data of daily closing prices for nine sectors and three benchmark indices for the period 2nd January 1997 - 17th August 2016. The data was split into sub-samples of pre-, during and post-global financial crisis, as wel
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27

Paukeje, Ján. "Analýza a modelování provozu v datových sítích." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2012. http://www.nusl.cz/ntk/nusl-219448.

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Theses deals with network traffic modeling focused on elaboration by time series analysis. The nature of network traffic is discussed above all http traffic. First three chapters are theoretical, which describes time series and basic models, linear AR, MA, ARMA, ARIMA and nonlinear ARCH. Other chapters define terms like self-similarity and long range dependence. It is demonstrated a failure of conventional models which cannot capture these specific properties of network data traffic. On the basis of study in chapter 6. is closely described the combined ARIMA/GARCH model and its parameter estim
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28

Altinsoy, Gozde. "Time Varying Beta Estimation For Turkish Real Estate Investment Trusts: An Analysis Of Alternative Modeling Techniques." Master's thesis, METU, 2009. http://etd.lib.metu.edu.tr/upload/3/12611309/index.pdf.

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This study investigates the time varying behavior of the betas (systematic risk) for the Turkish REIT sector in an attempt to identify whether the betas for the Turkish REITs are stable and if not whether the declining trend valid for the REIT betas of many developed and developing countries is also observed for the Turkish REITs. Three different techniques<br>namely, Diagonal BEKK (DBEKK) GARCH model, the Schwert and Seguin model and the Kalman Filter algorithm, are employed in order to estimate and analyze the time varying betas of the Turkish REIT sector over the period 2002-2009. The empir
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29

Karadag, Mehmet Ali. "Analysis Of Turkish Stock Market With Markov Regime Switching Volatility Models." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609787/index.pdf.

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In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. We investigate various models to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, we apply Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) to compare forecast performance of various models.
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30

Ainkaran, Ponnuthurai. "Analysis of Some Linear and Nonlinear Time Series Models." Thesis, The University of Sydney, 2004. http://hdl.handle.net/2123/582.

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Abstract This thesis considers some linear and nonlinear time series models. In the linear case, the analysis of a large number of short time series generated by a first order autoregressive type model is considered. The conditional and exact maximum likelihood procedures are developed to estimate parameters. Simulation results are presented and compare the bias and the mean square errors of the parameter estimates. In Chapter 3, five important nonlinear models are considered and their time series properties are discussed. The estimating function approach for nonlinear models is developed in d
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31

Khalfaoui, Rabeh. "Wavelet analysis of financial time series." Thesis, Aix-Marseille, 2012. http://www.theses.fr/2012AIXM1083.

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Cette thèse traite la contribution des méthodes d'ondelettes sur la modélisation des séries temporelles économiques et financières et se compose de deux parties: une partie univariée et une partie multivariée. Dans la première partie (chapitres 2 et 3), nous adoptons le cas univarié. Premièrement, nous examinons la classe des processus longue mémoire non-stationnaires. Une étude de simulation a été effectuée afin de comparer la performance de certaines méthodes d'estimation semi-paramétrique du paramètre d'intégration fractionnaire. Nous examinons aussi la mémoire longue dans la volatilité en
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32

Ainkaran, Ponnuthurai. "Analysis of Some Linear and Nonlinear Time Series Models." University of Sydney. Mathematics & statistics, 2004. http://hdl.handle.net/2123/582.

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Abstract This thesis considers some linear and nonlinear time series models. In the linear case, the analysis of a large number of short time series generated by a first order autoregressive type model is considered. The conditional and exact maximum likelihood procedures are developed to estimate parameters. Simulation results are presented and compare the bias and the mean square errors of the parameter estimates. In Chapter 3, five important nonlinear models are considered and their time series properties are discussed. The estimating function approach for nonlinear models is developed in d
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33

Heymans, André. "Managing an agricultural commodities portfolio in South Africa with pairs trading / André Heyman." Thesis, North-West University, 2007. http://hdl.handle.net/10394/2308.

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34

Kume, Ortenca. "Determinants of U.S. corporate credit spreads." Thesis, Robert Gordon University, 2012. http://hdl.handle.net/10059/735.

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This thesis deals with various issues regarding determinants of US corporate credit spreads. These spreads are estimated as the difference between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate a compensation not only for the default risk but also for other factors related to corporate bonds such as market liquidity or tax differential between corporate and Treas
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35

Neves, Miguel Alberto de Melo Afonso Reis das. "Análise crítica da volatilidade dos retornos das ações de algumas instituições bancárias." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14795.

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Mestrado em Mathematical Finance<br>Neste trabalho é analisada a evolução da volatilidade condicionada dos retornos no período compreendido entre outubro de 2003 e junho de 2017 dos principais bancos cotados na Euronext Lisboa, nomeadamente, o BPI, o BCP e o Santander Totta. Para o efeito, recorreu-se aos modelos de heterocedasticidade condicionada GARCH, TGARCH e EGARCH, para obter estimativas da volatilidade condicionada. Estes valores foram depois usados para analisar o impacto de acontecimentos nacionais e globais na evolução da volatilidade. Os resultados permitem concluir que, em consequ
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36

Strohe, Hans Gerhard. "Time series analysis : textbook for students of economics and business administration ; [part 2]." Universität Potsdam, 2004. http://stat.wiso.uni-potsdam.de/documents/zeitr/Time_Series_Analysis_Script2.pdf.

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37

Luo, Dan, and Yajing Ran. "Micro Drivers behind the Changes of CET1 Capital Ratio : An empirical analysis based on the results of EU-wide stress test." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-44140.

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Background: Stress tests have been increasingly used as a part of the supervisory tool by national regulators after the financial crisis, which can also be used to conduct authorities’ supervisory for determining bank capital levels, assessing the health of a bank. Purpose: The main purpose of this study is to assess whether some micro factors play important roles on the changes of Common Equity Tier One Capital Ratio (between the bank accounting value and the stress testing results under the adverse scenarios).  Our secondary purpose is to investigate if our empirical results will help to pro
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38

Mozayyan, Esfahani Sina. "Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252297.

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The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. In this paper the FX option expiration effect is investigated with the aim of finding out whether it provides valuable information for predicting FX rate movements. New models are created based on the concept of the option relevance coefficient that determines which options are at higher risk of being
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39

Alsaedi, Yasir H. "An Investigation of the Effects of Solar and Wind Prices on the Australia Electricity Spot and Options Markets: A Time Series Analysis." Thesis, Griffith University, 2021. http://hdl.handle.net/10072/410472.

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Electricity pricing is recognised as being among the most important contemporary policy issues in Australia, and it also represents a critical component of current discussions concerning energy and climate-change policies. Attempts to move forward with energy and climate-change policies have been mostly stymied by concerns regarding potential increases in electricity prices. In relation to such policy discussions, renewable electricity generation is currently considered to be a fundamental factor influencing electricity prices. Due to the increasing penetration of both wind and solar power gen
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40

Mozayyan, Sina. "Statistisk undersökning av valutakurser : En jämförelse mellan olika prognosmodeller." Thesis, Stockholms universitet, Statistiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-152182.

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Valutamarknaden är världens största marknad och en nödvändig del av dagens globala samhälle, som gör det möjligt för företag att göra affärer i olika valutor och mellan olika gränser. Marknaden utgör en stor handelsplattform för både små och stora aktörer, för vilka det är viktigt att prognostisera valutakurser med gott resultat. Att modellera finansiella instrument i form av tidsserier är en av de vanligaste investeringsstrategierna och dess användningsområde sträcker sig från valutamarknaden till bland annat aktiemarknaden och råvarumarknaden. I denna uppsats undersöks fyra olika statistiska
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41

Skopal, Martin. "Analýza a předpověď ekonomických časových řad pomocí vybraných statistických metod." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-400475.

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V této diplomové práci se zaměřujeme na vytvoření plně automatizovaného algoritmu pro předpovědi finančních řad, který se snaží využít kombinační proceduru na dvou úrovních mezi dvěma rodinami předpovědních modelů, Box-Jenkins a Exponenciální stavové modely, které jsou schopny modelovat jak homoskedastické tak heteroskedastické časové řady. Pro tento účel jsme navrhli selekční proceduru v prostředí MATLAB pro modely ARIMA. Výsledný kombinovaný model je pak aplikován několik finančních časových řad a jeho výkonost je diskutována.
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Cheng, Yung-An, and 陳泳安. "Raw materials commodity price index fluctuation analysis- Application of GARCH Model &MS-GARCH Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/28828500268452509522.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>98<br>This research analyzes the feature of commodities future index price. There are four kind of data be adopted in this research. To compare the difference return ratios between MRS-GARCH model and GARCH model we found that all results performed in MRS-GARCH model are quite well than GARCH model. We found that if included the different situation of economy in MRS-GARCH model. It could perform well results. There are three distributions in the assumptions of data. Student’s distribution can state the situation of economy clearly. All of return ratios that me
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43

Huang, Zhan-Ran, and 黃湛然. "Bayesian Analysis of GARCH Model in BUGS Language." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/fwuc6c.

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碩士<br>中原大學<br>應用數學研究所<br>106<br>The Bayesian time series analysis is commonly used in many fields, especially the financial engineering. In particular, we consider the GARCH models that fit the time varying volatility and volatility clustering. However, the main difficulty in Bayesian statistics is that statisticians often need to write tedious computational codes to execute the idea of the MCMC methods. For the last twenty years, the OpenBUGS or WinBUGS with simple syntax, named BUGS language, has been a popular tool to Bayesian statisticians since it applies MCMC method and avoids the length
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44

Chen, Yi-Fang, and 陳義方. "Applying Technical Analysis to FX Volatility ForecastingUsing GARCH Model." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/52237122548679605674.

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碩士<br>國立中興大學<br>統計學研究所<br>105<br>The main purpose of this paper is to applying technical analysis to promote GARCH model of predictive ability in the foreign exchange volatility. We use realized volatility as data and applying four technical indicators (FR, MA, SR, CB ) to produce technical trading signals, so we can apply to four different foreign exchange rates . Respectively, is the mature market of AUD and EUR, emerging markets of SGD and ZAR. Then we use these trading signals adding to the conditional variance of GARCH model which is obtained from daily return data, and we estimate the p
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45

Yu, Ming-Han, and 游明翰. "Bivariate Options Pricing with Copula-GARCH Model- Simulation Analysis." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/45224192346235938953.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>97<br>Bivariate option is the contingent claims derives from a pair of underlying assets. The underlying assets can be equity, commodities, foreign exchange rate, interest rate or any index with quotations. In this paper, we present a copula-GARCH model and the Monte Carlo simulation method base on the model. We examine the pricing result of three kinds of bivariate options - digital, rainbow and spread option, in many different cases and find that the choosing of pricing copula may cause a significant difference of the pricing result. Furthermore, the pricing resul
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Lin, Ben-Shou, and 林笨守. "Interest Rate Sensitivity Analysis On Bank-A GARCH-M Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/76157353271500449613.

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碩士<br>國立中央大學<br>產業經濟研究所<br>96<br>This study will explore the impact that the short and long-term interest rates risk changes on bank earnings. Under the influences of long-term interest rates (the 10-year bond interest rates in Taiwan and the U.S. 10-year bond interest rates) and short-term interest rates (30,90,180-day commercial paper interest rate),exploring SKFH listed commercial bank interest rates sensitivity. The sample period spans from August 21, 2002 to March 31, 2008. We use 1389 daily datas from Taiwan Economy Journal (TEJ) database. Consider the size of factors、the financial sys
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Hsu, Kai-Wen, and 許凱雯. "Bivariate Options Pricing with Copula-Based GARCH Model -Empirical Analysis." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/92164432177086432378.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>97<br>Multivariate options have experienced significant development in the last decade, due to their excellent abilities for hedging the risk of multiple assets. The most important issue in the valuation of multivariate options is the dependence structure among these underlying assets. In this paper, we use copula-based GARCH model as pricing device to describe the dependence structures of underlying assets, rather than the traditional linear correlation and Gaussian assumptions to price multivariate claims. Particularly, the skewed-t GARCH model is applied to captu
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Rahayu, Meinar Fithria, and 麥娜. "Volatility Analysis of Indonesian Coffee Price Using ARCH/GARCH Model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/71997340881915117083.

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碩士<br>國立屏東科技大學<br>農企業管理系所<br>103<br>This study aims to analyze the best model to expected volatility of Indonesia’s coffee price using ARCH/GARCH model and to measure the coffee price volatility spillover of International market to Indonesia’s coffee price using EGARCH model. These models use different conditional variance specifications to catch up the asymmetry. The empirical results show that GARCH (1.1) model seems to better describe the Indonesia’s coffee price volatility. From the EGARCH analysis known that International coffee price has an asymmetric effect to Indonesia’s return coffe
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Hung, Kuo-Chou, and 洪國洲. "Analysis of Short-Term Rate in Taiwan- Multivariate GARCH Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/44042334768048098581.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>98<br>Short-Term Rate is a key role in the place of monetary policy. Moreover, new financial products developed rapidly, the short-term rate is also very important toward varies asset pricing models. This research is based on basic liquidity effect theory for empirical study in Taiwan via certain variables, as of micro-economics, banks excess reserve, income, product price, and rate, for two multivariate models, as of practicing diagonal-vech model, and BEKK model. The empirical result claims that diagonal-vech model is better than BEKK model in estimation. It
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hua, wu ching, and 吳晴華. "Analysis of RMB’s Exchange Rate Floating：Application of ARMA-GARCH Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/02867589526989931301.

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碩士<br>清雲科技大學<br>經營管理研究所<br>95<br>Mainland China keep reducing the currency under the standard value since its economical development intermediate stage. Because China is the export country under the weak monetary policy, the exporting product price is more competitive which is similar to the export oriented policy. Due to the advantage of Mainland China export trade continues to grow, Driving Taiwan’s the hot money goes to China .The favorable balance of trade keep increasing, however Taiwan and the mainland mutually dependent highly. No matter Taiwanese businessman, who is trading with mainla
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