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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 350

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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hj-19141
Date January 2012
CreatorsHarding, Donald
PublisherInternationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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