Volatility forecasting in the Swedish hedge fund market: A comparison of downside-risk between Swedish hedge funds and the index S&P Europe 350
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
The purpose of this thesis is to examine whether Swedish Equity L/S hedge funds present a lower market risk than the index S&P Europe 350 over our holding period using a GARCH/EGARCH Value-at-Risk model. The sample consists of 96 monthly observa- tions between March 2004 and February 2012. The examination shows that the hedge funds in general hold a lower market risk than the index for the next holding period and al- so present a lower estimated loss if our VaR loss is exceeded. This implies that hedge funds would be a good choice for investors to have in a portfolio to reduce the risk.
Place, publisher, year, edition, pages
2012. , 21 p.
Hedge Fund, Value-at-Risk, GARCH, EGARCH, Filtered Historical Simulation, Equity L/S, VaR, FHS VaR
IdentifiersURN: urn:nbn:se:hj:diva-19141OAI: oai:DiVA.org:hj-19141DiVA: diva2:543778
Subject / course
2012-05-31, Jönköping, 09:00 (English)
UppsokSocial and Behavioural Science, Law
Bjuggren, Per-olof, Professor