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An overview of the theoretical literature for the last two decades suggests that there is no clear-cut relationship one can pin down between exchange rate volatility and trade flows. Analytical results are based on specific assumptions and only hold in certain cases. Especially, the impact of exchange rate volatility on export and import activity investigated separately leads also to dissimilar conclusions among countries studied. The general presumption is that an increase in exchange rate volatility will have an adverse effect on trade flows and consequently, the overall heath of the world economy. However, neither theoretical models nor empirical studies provide us with a definitive answer, leaving obtained results highly ambiguous and inconsistent (Baum and Caglayan, 2006). We purposed to empirically investigate trade effects of exchange rate fluctuations in Sweden from the perspective of export and import in this research. The data comprises period from January 1993 to December 2006, where export and import volumes are considered from the point of their determinants, including exchange rate volatility, which has been measured through EGARCH model. The results for the case of Sweden show that short run dynamics of volatility negatively associated with both export and import, whereas considered from the case of previous period volatility it exhibits positive relationship. These results are consistent with the most findings of prior studies, where the relationship remained ambiguous.

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This paper considers the high-moments and uses the skew generalized error distribution (SGED) to explain the financial market data which have leptokurtic, fat-tailed and skewness. And we compare performance with the commonly used symmetrical distribution model such as normal distribution, student¡¦s t distribution and generalized error distribution (GED). To research when returns of asset have leptokurtic and fat-tailed phenomena, what model has better predictive power for volatility forecasting? The empirical procedure is as follows: First step, make the descriptive statistics of raw data, and know that the GARCH effect should be considered, followed by selecting the optimal order of ARMA-GARCH. The second steps, make the parameter estimations of full-sample, and pick up the best model. Finally, forecast out-of-sample volatility for 1-day, 2-day, 5-day, 10-day and 20-day respectively, not only use different loss function to measure the performance, but also use DM test to compare the relative predictive power of the models under the different error distribution.

This study attempts to capture the behavior of volatility in the commodity futures market by importing the normal mixture GARCH Model and the NIG mixture GARCH model (Normal-inverse Gaussian Mixture GARCH Model). Normal mixture GARCH Model (what follows called NM-GARCH Model) is a model mixed by two to several normal distributions with a specific weight portfolio, and its variance abide by GAECH process. The ability of capturing the financial data with leptokurtosis and fat-tail of NM-GARCH Model is better than Normal GARCH Model and Student¡¦s t GARCH Model.¡CAlso¡AThe Variance of the factor with lower weight in NM-GARCH Model usually higher, and the volatility of the factor with higher weight is lower, which explains the situation happens in the real market that the probability of large fluctuations (shocks) is small, and the probability of small fluctuations are higher. Generally, the volatilities which keeping occurring in common cases are respectively flat, and the shocks usually bring large impacts but less frequent. NIG Mixture Distribution is a distribution mixed by two to several weighted distributions, and the distribution of every factor abides by NIG Distribution. Compare to Normal Mixture Distribution, NIG Mixture Distribution takes the advantages of NIG Distribution into account, which can not only explain leptokurtosis and the deviation of data, but describe the fat-tail phenomenon more complete as well, because of the both tails of NIG Distribution decreasing slowly. This study will apply the NM GARCH Model and NIG GARCH Model to the Volatility forecasting of the return rates in the crude oil futures market, and infer the predictive abilities of this two kinds of models are significantly better than other volatility model by implementing parameter estimation, forecasting, loss function and statistic significant test.

This thesis is an investment strategy that seeks to profit from increases in market volatility. There have been several boom and bust cycles during the past fifteen years and volatility is projected to continue forward as a result of global asset misallocation and challenges stemming from debt liquidity. Volatility is measured by the Chicago Board of Options Exchange VIX volatility index. A proposed mean reversion strategy uses the VIX as a contrarian indicator of hope and fear to time decisions at extreme levels that have been determined through statistical analysis. This thesis found through back testing that market timing is possible at extreme levels of fear but is less reliable during extreme levels of hope and complacency. This strategy that utilizes measures of sentiment does however outperform the general market despite being active only five months on average per year. By synthesizing a broad range of fundamental, technical, and behavioral research, this thesis develops a unique contribution and practical set of market trading guidelines. The significance of these findings will help the individual investor to make better decisions during times of increased volatility.

Efficient market exist such that financial market make the absence of arbitrage opportunity on intertemporal asset price, There are special existence due to volatility clustering effect provides that the conditional volatility predictor could control, applying on derivative such as option¡Bcurrency exchange¡Bswap¡Bexist possible arbitrage profits ,in this paper involve that forward market efficiency and how to prototype concrete, now we apply parity theory including covered interest parity and uncovered interest parity, then the study of both covered (CIP)and uncovered interest parity (UIP) plus FME are tested in the 30 and 90 forward markets for the NTD/USD exchange rate to examine market efficiency on using GARCH-M,EGARCH models , In the empirical tests, we find the NTS/USD dollar interest rate spread have I(o) property ,Results are provided for interest rate on stationarity indicating that interest differential is stationary ,the result also imply stationary relationship between Taiwan and USA on money policy, Using Taylor(1989) ¡As covered interest arbitrage models, The empirical results show lower positive profit opportunities on NTD or US returns, covered interest parity may hold because NTS/US exchange market after reopening becomes more efficient than market after reopening, the central bank money policy intervention is influential but we test market efficiency hypotheses on basis of Domowitz and Hakkio¡]1985¡^¡As ARCH-M model deeply employing GARCH-M¡BEGARCH models to estimate Risk Premium¡Athen employ Felmingham (2003.2) ¡As regression equation to test forward market efficiency , the empirical results shows that not only CIP¡BUIP theory fail but also Forward Market Efficiency hypotheses cannot hold ,then future spot rates could be predicted by forward rates are worthy of investigate., It may indicate that foreign securities are imperfect substitutes for domestic ones of equivalent maturity and that market participants, implying that there is arbitrage profit opportunity between Taiwan and the USA, there are many arguments to discuss whether forward rates as an unbiased predictor of future spot rate ,Forward Market efficiency give the presence of the time varying premium on different place, Ultimately, therefore, the unbiased nature of forward rates is an empirical, and not a theoretical, issue¡C

In financial econometrics the modeling of asset return series is closely related to the estimation of the corresponding conditional densities. One reason why one is interested in the whole conditional density and not only in the conditional mean, is that the conditional variance can be interpreted as a measure of time-dependent volatility of the return series. In fact, the modeling and the prediction of volatility is one of the central topics in asset pricing. In this paper we propose to estimate conditional densities semi-nonparametrically in a neural network framework. Our recurrent mixture density networks realize the basic ideas of prominent GARCH approaches but they are capable of modeling any continuous conditional density also allowing for time-dependent higher-order moments. Our empirical analysis on daily DAX data shows that out-of-sample volatility predictions of the neural network model are superior to predictions of GARCH models in that they have a higher correlation with implied volatilities. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Η παρούσα διπλωματική εργασία ασχολείται με το θέμα "ΜεταΒλητότητα των τιμών βασικών προϊόντων και τροφίμων του Νομού Αιτωλοακαρνανίας". Μέσα από παγκόσμιες έρευνες και μελέτες διεθνών οργανισμών, παρατίθενται οι κυριότεροι παράγοντες που επηρεάζουν τη μεταβλητότητα των τιμών των βασικών αγροτικών προϊόντων σε διεθνές επίπεδο, ενώ παράλληλα γίνεται εκτενής αναφορά στον Νομό Αιτωλοακαρνανίας καθώς παρουσιάζεται μια σειρά διαγραμμάτων που αφορούν στοιχεία σχετικά με ορισμένα από τα βασικά αγροτικά προϊόντα του Νομού τόσο της φυτικής όσο και της ζωικής παραγωγής. Η παραγωγή των αγροτικών προϊόντων παίζει ένα σημαντικό ρόλο στην οικονομική δραστηριότητα του κόσμου, ειδικά στις λιγότερο ανεπτυγμένες χώρες. Κατά τη διάρκεια των τελευταίων δεκαετιών, η αγορά των αγροτικών προϊόντων και ιδιαίτερα τα βασικά αγροτικά προϊόντα χαρακτηρίστηκε από μακροχρόνιες διακυμάνσεις των τιμών. Η παραγωγή των προϊόντων αυτών ποικίλει χρόνο με το χρόνο, αφενός λόγω φυσικών παραγόντων όπως οι καιρικές συνθήκες, οι κλιματικές αλλαγές και τα παράσιτα, και αφετέρου από οικονομικούς παράγοντες, όπως οι μεταβολές στις συνθήκες της προσφοράς και της ζήτησης, καθώς και η χρήση των προϊόντων αυτών για την παραγωγή βιοκαυσίμων. Στόχος αυτής της εργασίας είναι να μελετήσουμε τη μεταβλητότητα των τιμών σε μια σειρά βασικών αγροτικών προϊόντων. Η κατανόηση αυτού του φαινομένου είναι σημαντική, διότι επηρεάζει τόσο τους παραγωγούς, όσο και τους καταναλωτές των προϊόντων αυτών. Η εργασία χωρίζεται σε πέντε ενότητες. Αρχικά, παρατίθεται η ιστορική εξέλιξη των τιμών των βασικών αγροτικών προϊόντων, ενώ ορίζονται επιγραμματικά τα βασικά αγροτικά προϊόντα (δημητριακά, σιτηρά, οσπριοειδή, ελαιώδη δημητριακά), τα οποία στη συνέχεια της μελέτης αναφέρονται διεξοδικά. Έπειτα, αναλύεται ο ρόλος του πετρελαίου ως βασικός προσδιοριστικός παράγοντας για την αστάθεια των τιμών των προϊόντων στον τομέα της γεωργίας. Ακόμη, δίνονται ορισμένα στοιχεία για τα βιοκαύσιμα, ενώ αναφέρονται διεξοδικά τα πλεονεκτήματα και τα μειονεκτήματά τους στον τομέα της γεωργίας, στον περιβαλλοντικό τομέα καθώς και στον γεωπολιτικό. Τέλος γίνεται αναφορά στις ιδιαιτερότητες του γεωργικού τομέα και στην αναγκαιότητα της κοινής αγροτικής πολιτικής (Κ.Α.Π). Στην δεύτερη ενότητα με θέμα<< Μεταβλητότητα των τιμών των αγροτικών προϊόντων>> γίνεται λόγος στη μεταβλητότητα των τιμών και τους παράγοντες που την προκαλούν καθώς και στις επιπτώσεις της αστάθειας των τιμών των βασικών αγροτικών προϊόντων σε διεθνές επίπεδο. Στην ενότητα 3 γίνεται λόγος για την διατροφική κρίση που έχει προκύψει από την αύξηση των τιμών των αγροτικών προϊόντων, ενώ παρατίθενται στοιχεία σχετικά με τη σύνθεση του συγκεκριμένου προβλήματος. Ο κανόνας της ζήτησης και της προσφοράς είναι ένας επιπλέον παράγοντας, ο οποίος επηρεάζει καθοριστικά τις τιμές των προϊόντων, καθώς όταν οι όροι της προσφοράς και της ζήτησης είναι σταθεροί ανά έτος ή όταν η ελαστικότητα της ζήτησης και η ελα-στικότητα της προσφοράς είναι σχετικά υψηλή, οι αγορές προϊόντων βιώνουν σταθερότητα στις τιμές των προϊόντων τους. Αντιθέτως, η μεταβλητότητα των τιμών εμφανίζεται κυρίως σε προϊόντα με ασταθείς συνθήκες της προσφοράς και ζήτησης. Επιπλέον, γίνεται εκτενή αναφορά στα βασικά μηνύματα της έκθεση των ΟΟΣΑ-FAO για την δεκαετία 2011-2020. Η ενότητα 4 αναφέρεται στον Νομό Αιτωλοακαρνανίας και γίνεται μία γενικότερη ανασκόπηση της πορείας μερικών εκ των βασικότερων αγροτικών προϊόντων του Νομού μέσα από διαγράμματα. Επιπροσθέτως, γίνεται λόγος και για την Βιολογική Γεωργία- Κτηνοτροφία στον Νομό Αιτωλοακαρνανίας. Τέλος, στην ενότητα 5 θα κλείσουμε με συμπεράσματα και προτάσεις για μελλοντική έρευνα. / This diploma thesis deals with the topic “Volatility in commodity and food prices in Aitoloakarnania prefecture”. In global surveys and studies by international organizations, the main factors that affect the volatility of the prices of basic agricultural products at international level are given, while at the same time made extensive reference to the Prefecture of Aitoloakarnania as presented a series of diagrams that relate to information on some of the main agricultural products of the Prefecture of both plant and animal production.The production of agricultural products plays an important role in the world's economic activity, especially in less developed countries. During the last few decades, the agricultural product market and especially the basic agricultural products was characterised by long-term price fluctuations. The production of these products varies from year to year, partly due to natural factors such as weather, climate changes and pests, and other than economic factors, such as changes in the conditions of supply and demand, as well as the use of these products for the production of bio fuels. The aim of this work is to study the variability of prices in a number of key agricultural products. Understanding this phenomenon is important because it affects both producers and consumers of these products.The thesis is divided into five sections. Initially, the historical evolution of the prices of basic agricultural products, while briefly defined the basic agricultural products (cereals, leguminous, oleaginous grains), which then study detailing. Then it discusses the role of oil as a key enabler for the instability of the prices of products in the field of agriculture. Still, given some data for bio fuels, while detailing the advantages and disadvantages in the field of agriculture, in the environmental sector and geopolitical. Finally, reference is made to the specificities of the agricultural sector and the necessity of the common agricultural policy (C. A. P.).In the second section entitled “Price volatility for agricultural products” refers to price volatility and the factors that cause as well as the impact of volatility in the prices of basic agricultural products internationally. In section 3 refers to the food crisis that has arisen from the rise in prices of agricultural products, while figures concerning the composition of the particular problem. The rule of demand and supply is an additional factor, which affects key commodity prices, when the terms of supply and demand is fixed per year or when the demand elasticity and the elasticity of supply is relatively high, the product markets experiencing stability in the prices of their products. On the contrary, price volatility occurs mainly in unstable conditions of supply and demand. In addition, there is extensive reference to the key messages of the report of the FAO for the Decade 2011–2020. Section 4 refers to the Prefecture of aitoloakarnania and becomes a more general overview of some of the major agricultural products of the Prefecture through diagrams. In addition, there is talk about Organic Farming in Georgia Prefecture of Aitoloakarnania. Finally, in section 5 we will close with conclusions and suggestions for future research.