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Volatility forecasting in the Swedish hedge fund market: A comparison of downside-risk between Swedish hedge funds and the index S&P Europe 350
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Hedge Fund, Value-at-Risk, GARCH, EGARCH, Filtered Historical Simulation, Equity L/S, VaR, FHS VaR
National Category
URN: urn:nbn:se:hj:diva-19141OAI: diva2:543778
Subject / course
IHH, Economics
2012-05-31, Jönköping, 09:00 (English)
Social and Behavioural Science, Law
Available from: 2012-08-16 Created: 2012-08-09 Last updated: 2012-08-16Bibliographically approved

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