Πρόβλεψη της μεταβλητότητας σε μεταβαλλόμενες καταστάσεις της αγοράς: η περίπτωση ανεπτυγμένων και αναπτυσσόμενων αγορών

Θεοδοσίου, Γεώργιος Ι.

Master Thesis

Author

Θεοδοσίου, Γεώργιος Ι.

Date

2015-06

Abstract

The objective of this study is the forecast of financial market volatility of 7 different countries. In this context, the most frequently applied methods in the relevant previous literature were presented and appraised. After that, some of the above methodologies were applied to the data of the 7 indices for the period 2000-2010. we split our data in 3 subperiods with different characteristics each one. The results suggest that the Moving Average and the EGARCH(1,1) and TARCH(1,1) produce the most efficient results.

Postgraduate Studies Programme

Εφαρμοσμένη Στατιστική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/8822

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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