Blar i UiS Brage på emneord "GARCH"

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    • A comparative volatility analysis and an enquiry into the future of Bitcoin 

      Kvammen, Einar Berg; Askeland, Andreas Lie (Masteroppgave/UIS-TN-IØRP/2018;, Master thesis, 2018-06)
      The main object of this thesis is to investigate if Bitcoin has matured as a financial asset. We intend to do this by comparing the volatility of Bitcoin to the volatility of gold and S&P500 using the best fitting GARCH ...

    • A survey of risk and ambiguity: an application to the GARCH(1,1) model with exchange rate data. 

      Villegas, Eduardo (Masteroppgave/UIS-SV-HH/2012;, Master thesis, 2012)
      The assumption of normality in many risk management models is not always representative of the sample distribution at hand. Applying a uniform approach to a non-uniform population can produce biased and unreliable estimators ...

    • Extreme risk management in oil and natural gas markets 

      Staveland, Line Kringeland (Masteroppgave/UIS-TN-IØRP/2012;, Master thesis, 2013-02-01)
      Value at Risk (VaR) is an important calculation in risk management. It is a commonly used measure of risk in finance, and is used by corporations to estimate potential future loss. With a significance level, VaR gives the ...

    • Market integration and volatility in the Nordic energy exchange 

      Sørås, Terje Jensen (Masteroppgave/UIS-TN-IØRP/2016;, Master thesis, 2016-06)
      This thesis is investigating the level of market integration, as well as the volatility and inter-relationship in the Nordic spot market. The empirical analysis is using spot prices from 13 regions in the Nordic energy ...

    • Quantified volatility modelling and diversification across geographical regions and asset classes 

      Ibrekk, Morten Ytrehus (Masteroppgave/UIS-TN-IØRP/2014;, Master thesis, 2014-06-12)
      Today’s financial markets are currently experiencing stock index valuations close to all time high while low interest rates creates a negative outlook for fixed income-securities. Historically, stock markets will periodically ...