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dc.contributor.authorΜπουλή, Ευσταθία
dc.date.accessioned2006-04-03T11:56:06Z
dc.date.available2003-05-26T11:14:36Z
dc.date.issued2002-12-01T11:14:36Z
dc.identifier.urihttps://dione.lib.unipi.gr/xmlui/handle/unipi/90
dc.description.abstractThe purpose of this study is to examine the forecasting performance of the GARCH (1, 1) model in an attempt to answer to the findings of several forecasts competitions that present the GARCH models as poor forecast predictors. We compare the forecast accuracy of the GARCH (1, 1) model with that of a homoskedastic one, by using as statistical criterion the mean squared prediction error. We utilize bilateral daily data for the dollar versus the currencies of other ten countries and bilateral daily data of stock market returns for ten financial markets. We compare the out of sample performance realization of the squared of the daily change in an exchange of stock return rate with the value predicted by a model of the conditional variance
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.rightsΑναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.el
dc.subjectTime-series analysis
dc.subjectEconometric models
dc.subjectGARCH (1,1)
dc.titleThe performance of GARCH (1,1) models in forecasting volatility of financial markets.
dc.typeMaster Thesis
europeana.isShownAthttps://dione.lib.unipi.gr/xmlui/handle/unipi/90
europeana.typeIMAGE
dc.format.bytes338441 bytes


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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές

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Η δημιουργία κι ο εμπλουτισμός του Ιδρυματικού Αποθετηρίου "Διώνη", έγιναν στο πλαίσιο του Έργου «Υπηρεσία Ιδρυματικού Αποθετηρίου και Ψηφιακής Βιβλιοθήκης» της πράξης «Ψηφιακές υπηρεσίες ανοιχτής πρόσβασης της βιβλιοθήκης του Πανεπιστημίου Πειραιώς»