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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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1

Volatility forecasting in the Swedish hedge fund market : A comparison of downside-risk between Swedish hedge funds and the index S&P Europe 350

Harding, Donald January 2012 (has links)
The purpose of this thesis is to examine whether Swedish Equity L/S hedge funds present a lower market risk than the index S&P Europe 350 over our holding period using a GARCH/EGARCH Value-at-Risk model. The sample consists of 96 monthly observa- tions between March 2004 and February 2012. The examination shows that the hedge funds in general hold a lower market risk than the index for the next holding period and al- so present a lower estimated loss if our VaR loss is exceeded. This implies that hedge funds would be a good choice for investors to have in a portfolio to reduce the risk.
Hedge Fund
Value-at-Risk
GARCH
EGARCH
Filtered Historical Simulation
Equity L/S
VaR
FHS VaR

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