Volatility forecasting of selected US equities

Bc. Egor Dushin

Bachelor's thesis

Anotácia:

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-term indicators, as well as the inconsequential role of long-term variables when the model mostly contains immediate variables.

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-term indicators, as well as the inconsequential role of long-term variables when the model mostly contains immediate variables.

Keywords

Market Volatility, Volatility Forecasting, Financial Market, Heterogeneous Autoregressive (HAR) Mode, Apple, Pfizer, HomeDepot, Realized Volatility, Volatility Index (VIX), Modelling.

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 26. 4. 2024

Obhajoba závěrečné práce

• Obhajoba proběhla 13. 6. 2024
• Vedúci: doc. Ing. Tomáš Plíhal, Ph.D.
• Oponent: Ph.D. Axel Alejandro Araneda Barahona

Masaryk University

Faculty of Economics and Administration

Bachelor programme / odbor:
Business Management and Finance / Business Management and Finance