Modeling volatility for the Swedish stock market
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This thesis will investigate if adding an exogenous variable (implied volatility) to the variance equation will increase the performance for the GARCH(1,1) and EGARCH(1,1) models based on the OMXS30 index. These models are also compared with the implied volatility itself as a forecasting/modeling method. To evaluate the models the realized variance will be used as an unbiased estimator of the conditional variance. The findings suggest that adding implied volatility to the variance equation increase the overall performance.
Place, publisher, year, edition, pages
2016. , 28 p.
GARCH, Conditional variance, Realized variance, Implied volatility, Forecasting volatility, Heteroskedasticity, Time series
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-275065OAI: oai:DiVA.org:uu-275065DiVA: diva2:898640
Subject / course