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Evaluating forecasts from the GARCH(1,1)-model for Swedish Equities
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Place, publisher, year, edition, pages
2012.
Keyword [en]
Volatility forecasts, GARCH(1, 1), Realized Variance, Mincer-Zarnowitz regression
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-178120OAI: oai:DiVA.org:uu-178120DiVA: diva2:542029
Subject / course
Statistics
Uppsok
Social and Behavioural Science, Law
Available from: 2012-07-31 Created: 2012-07-27 Last updated: 2012-07-31Bibliographically approved

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fulltext(1385 kB)1012 downloads
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4f2cb7f4a73c94e67440da2b40a1b087b8c2f8031f52f25cc190839ab22ccc76f67eeb2b68f5c6558fbaa86091fbd19272a390fd1bc7939a0b24ebe38e1849f1
Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • 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