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