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Stock market forecasting:investigation of a relationshipbetween GDP per capita and stockmarket volatility: A statistical study based on the GARCH(1,1)model
KTH, School of Computer Science and Communication (CSC).
KTH, School of Computer Science and Communication (CSC).
2015 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Stock market indexes such as S&P 500 depends on many different variables, such as macroeconomic variables, causing the volatility to appear random. Getting a close estimation of the volatility is of high interest when making investments. Volatility models and analysis of different macroeconomic variables are often used when estimating the volatility in a market. This paper uses the volatility model GARCH(1,1) to estimate the volatility of the S&P 500 index with the goal of evaluating whether there may exist a relationship between decreases in GDP per capita in the U.S. and the volatility of S&P 500. A significance test with a significance level on 95 % determines that the median of the volatility is higher during periods of decreasing GDP per capita. Together with results from reading graphs of obtained data the conclusion is drawn that there might exista relationship where the S&P 500 index tends to have higher volatility during longer periods of decreasing GDP per capita.

Abstract [sv]

Aktiemarknadsindex såsom S&P 500 påverkas av många olika variabler, blandannat makroekonomiska variabler. Detta medför att indexets volatilitet ser ut att vara slumpmässig. Att få en nära skattning av volatiliteten är av intresse vid investeringar. Volatilitetsmodeller och analyser av makroekonomiska variabler används ofta vid skattning av volatiliteten på marknaden. Denna rapport använder volatilitetsmodellen GARCH(1,1) f ̈or att skatta volatiliteten f ̈or S&P500 med målet att utvärdera om det kan finnas ett samband mellan sjunkande BNP per capita i USA och volatiliteten. Följdaktligen utförs ett signifikanstest som visar med 95 % signifikans att volatilitetens median är högre när BNP per capita sjunker. Analys av dessa resultat och grafer för erhållen data leder till slutsatsen att det kan finnas ett samband där volatiliteten för indexet S&P 500 tenderar att öka då BNP sjunker under en längre period.

Place, publisher, year, edition, pages
2015. , 27 p.
National Category
Computer Science
Identifiers
URN: urn:nbn:se:kth:diva-187028OAI: oai:DiVA.org:kth-187028DiVA: diva2:928622
Subject / course
Computer Science
Educational program
Master of Science in Engineering - Computer Science and Technology
Supervisors
Examiners
Available from: 2016-05-18 Created: 2016-05-16 Last updated: 2016-05-18Bibliographically approved

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Eriksson, JacquelineStrandberg, Mitra
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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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Language
  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
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