Add to ORKGWhen making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. The models examined are GARCH, EGARCH and Black-Scholes (implied volatility). The result indicates that EGARCH is best at forecasting proxies for the index volatility. All models follow the realized volatility proxies fairly well, but implied volatility constantly overestimates the volatility. This is consistent with previous research
In this paper, we have constructed an implied volatility index for the Norwegian equity market (OBX-...
This thesis consists of two articles that study volatility forecasts and the value of implied volati...
This paper models the implied volatility of the S&P 500 index, with the aim of producing useful ...
When making investment decisions risk is a highly important aspect to account for. Many studies have...
The purpose of this thesis is to study if and how well implied volatility can predict realised volat...
In this paper, I investigate the forecasting power of implied volatility via a new volatility index ...
There are many models on the market that claim to predict changes in financial assets as stocks on t...
Volatility forecast plays a central role in the financial decision making process. An intrinsic purp...
Modern institutions from multinationals to nation states use the global derivatives market in order ...
This study aims to find the model which generates the best volatility forecasts of single stock retu...
This thesis examines the volatility forecasting performance of six commonly used forecasting models;...
This thesis will investigate if adding an exogenous variable (implied volatility) to the variance eq...
This study examines whether the implied volatility index can provide further information in forecast...
Purpose: The purpose is to investigate which of the selected models that forecasts the out-of-sample...
The purpose of this study is to examine the performance of various volatility forecasting models in ...
In this paper, we have constructed an implied volatility index for the Norwegian equity market (OBX-...
This thesis consists of two articles that study volatility forecasts and the value of implied volati...
This paper models the implied volatility of the S&P 500 index, with the aim of producing useful ...
When making investment decisions risk is a highly important aspect to account for. Many studies have...
The purpose of this thesis is to study if and how well implied volatility can predict realised volat...
In this paper, I investigate the forecasting power of implied volatility via a new volatility index ...
There are many models on the market that claim to predict changes in financial assets as stocks on t...
Volatility forecast plays a central role in the financial decision making process. An intrinsic purp...
Modern institutions from multinationals to nation states use the global derivatives market in order ...
This study aims to find the model which generates the best volatility forecasts of single stock retu...
This thesis examines the volatility forecasting performance of six commonly used forecasting models;...
This thesis will investigate if adding an exogenous variable (implied volatility) to the variance eq...
This study examines whether the implied volatility index can provide further information in forecast...
Purpose: The purpose is to investigate which of the selected models that forecasts the out-of-sample...
The purpose of this study is to examine the performance of various volatility forecasting models in ...
In this paper, we have constructed an implied volatility index for the Norwegian equity market (OBX-...
This thesis consists of two articles that study volatility forecasts and the value of implied volati...
This paper models the implied volatility of the S&P 500 index, with the aim of producing useful ...