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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Anastasiia Aliapkina
Analysis of Forecasting Power of GARCH Models
Economics
(Bachelor’s programme)
2016
In the paper, there were tested 54 ARCH-models for their ability to forecast. The models were tested on the foreign exchange market data. It was evaluated the accuracy of the predicted values: the values predicted by the volatility and VaR were compared with the realized values. It was shown that a Threshold ARCH model had statistically more precise forecasting values and was the best model for forecasting on the foreign exchange market.

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