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Bc. Egor Dushin

Bachelor's thesis

Volatility forecasting of selected US equities

Volatility forecasting of selected US equities
Abstract:
This thesis examines market volatility forecasting by integrating the heterogeneous autoregressive (HAR) model, using daily data of realized volatility estimator. It assesses volatility of U.S companies across the technological, pharmaceutical, and retail sectors enhancing predictions with the use of VIX index, trading volume, log-returns and closing prices. Findings highlight the significance of short …more
Abstract:
This thesis examines market volatility forecasting by integrating the heterogeneous autoregressive (HAR) model, using daily data of realized volatility estimator. It assesses volatility of U.S companies across the technological, pharmaceutical, and retail sectors enhancing predictions with the use of VIX index, trading volume, log-returns and closing prices. Findings highlight the significance of short …more
 

Keywords

Market Volatility Volatility Forecasting Financial Market Heterogeneous Autoregressive (HAR) Mode Apple Pfizer HomeDepot Realized Volatility Volatility Index (VIX) Modelling.
 
Language used: English
Date on which the thesis was submitted / produced: 26. 4. 2024
Identifier: https://is.muni.cz/th/scyrl/

Thesis defence

  • Date of defence: 13. 6. 2024
  • Supervisor: doc. Ing. Tomáš Plíhal, Ph.D.
  • Reader: Ph.D. Axel Alejandro Araneda Barahona

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakulta
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