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Browsing Theses and Dissertations by Author "Notre Dame University-Louaize. Graduate division"

Browsing Theses and Dissertations by Author "Notre Dame University-Louaize. Graduate division"

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  • Impact of news announcements on stock market returns and volatility spillover across north America, European Union and Pacific Asia 
    Saliba, Karim Khalil (Notre Dame University-Louaize, 2020-02)
    Purpose – This thesis has two objectives. The first one is to test empirically the level of interdependence across major stock markets returns, namely, US, EU, and Asia in terms of return and volatility spillover. The second one is to evaluate the impact of news announcements on their stock market volatility. Design/methodology/approach – To model the volatility of the three above mentioned stock markets we apply a battery of univariate time series models from the GARCH family. Dickey Fuller unit root test is used in order to ensure that the three return series are stationary. The mean equation ...
  • Volatility and value at risk : crypto versus Fiat currencies 
    El Chidiac, Johnny (Notre Dame University-Louaize, 2019)
    Purpose: The purpose of this thesis is to investigate the ability of EWMA, GARCH (1, 1), GARCH (p, q) and EGARCH (1, 1) to forecast volatilities of Bitcoin, Ripple, EURUSD, GBPUSD and CNYUSD. The optimal volatility model for each fiat and virtual currency is used to measure the accuracy of VaR by incorporating the volatility update into the Historical Simulation approach. Design/Methodology/Approach: In-sample returns are calculated from daily closing prices and are used in estimating the parameters of the selected models. The calculated in-sample parameters are applied to estimate and forecast ...

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