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Application of EGA RCH Model to Estimate Financial Volatility of Daily Returns: The empirical case of China Chang Graduate School Master of Science in Finance Master Degree Project No.2010:142 Supervisor:

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What is application of egarch model?

The application of EGARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity) model is mainly used in financial econometrics to model and forecast the volatility of financial time series data, such as stock prices or exchange rates. It is particularly useful in capturing asymmetric and long-term persistence in the volatility of these data. The EGARCH model allows for the estimation of both the conditional mean and the conditional standard deviation of a time series.

Who is required to file application of egarch model?

The application of the EGARCH model can be filed by financial analysts, economists, researchers, or anyone who wishes to analyze and forecast the volatility of financial time series data using this specific model. It is commonly applied by professionals in the fields of quantitative finance and risk management.

How to fill out application of egarch model?

To fill out an application of the EGARCH model, you would typically need to have access to financial time series data that you want to analyze and forecast. You would then follow a set of steps, which typically involve specifying the model assumptions, estimating the parameters, and examining the model diagnostics. Various statistical software packages, such as R, MATLAB, or Python, offer functions and packages specifically designed for fitting EGARCH models.

What is the purpose of application of egarch model?

The main purpose of applying the EGARCH model is to accurately model and forecast the volatility of financial time series data. By using the EGARCH model, analysts can better understand and predict the level of risk associated with various financial assets. This information is crucial for investment decisions, risk management strategies, and the pricing of derivatives and options.

What information must be reported on application of egarch model?

The specific information that must be reported on an application of the EGARCH model may vary depending on the context and purpose of the analysis. However, it typically includes the financial time series data used, the model specifications (such as the type of distributions assumed for the error terms), the estimated parameters, model diagnostics (e.g., tests for model adequacy), and the volatility forecasts for the relevant time horizon.