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Forecasting the Volatility of an Optimal Portfolio using the GARCH(1,1) Model
Mälardalen University, School of Education, Culture and Communication.
Mälardalen University, School of Education, Culture and Communication.
2022 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this thesis, we have built an optimal portfolio using five assets from the Japanese market. We have investigated the use of GARCH(1,1) when forecasting the volatility of our optimal portfolio. Different time periods have been considered for optimizing our results. An equally-weighted portfolio has been used as a benchmark. Our results show that the optimal portfolio we constructed is more efficient than the equally-weighted portfolio in all chosen situations.

Place, publisher, year, edition, pages
2022. , p. 59
Keywords [en]
Volatility forecasting, Optimal portfolio, GARCH(1, 1), Stock market, Investing
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-58605OAI: oai:DiVA.org:mdh-58605DiVA, id: diva2:1665444
External cooperation
Richard Johnsson
Subject / course
Mathematics/Applied Mathematics
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Examiners
Available from: 2022-06-09 Created: 2022-06-07 Last updated: 2022-06-09Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf