Volatility forecasting of selected US equities – Bc. Egor Dushin
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 …moreAbstract:
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
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
Citation record
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- světu
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakultaMasaryk University
Faculty of Economics and AdministrationBachelor programme / field:
Business Management and Finance / Business Management and Finance
Theses on a related topic
-
Volatility Modelling & Forecasting: Heterogeneous Autoregressive Models
Roman Kováč -
CBOE Volatility Index VIX and the Volatility Premium Structure Analysis
Anastasiia Krol -
Oceňování opcí na index volatility VIX rychlou Fourierovou transformací
Thi Ha Vi Bui -
Analýza vývoje časové řady indexu VIX a VIX futures
Jana Boháčková -
Short selling and financial market volatility
Kwaku Boafo Baidoo -
Effects of Global Financial Crisis on Stock Market Volatility
Yaxin Guo -
Netradiční marketingová komunikace společnosti Apple
Petr Prokeš -
Vzdálená správa zařízení Apple ve školství
Denis Prokůpek