<p>In this paper we aim to investigate volatility and correlation of sector</p><p>indexes of Nordic Market. More precisely we work with OMX Stockholm</p><p>Exchange Indexes, considering the Paper, the Energy and the Bank</p><p>sectors.</p><p>We use daily returns over the period from 5 January 2001 to 13 April</p><p>2007 and compute and forecast return volatility using the GARCH(1; 1)</p><p>model. We also calculate the correlation matrix of the indexes.</p><p>The GARCH(1; 1) model ¯t the empirical data well for all three sectors</p><p>and can therefore be used for volatility forecasts. Here, we have pre-</p><p>dicted the one-day-ahead forecasts and based on these data calculated</p><p>the correlation matrix. The results from these calculations show that</p><p>all three sectors are highly correlated. We obtained however the small-</p><p>est correlation between Paper and Energy which was surprising as the</p><p>Paper industry is very energy consuming. This result indicates other</p><p>relations between Paper and Energy.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-1638 |
| Creators | Borbacheva, Ksenia |
| Publisher | Halmstad University, Halmstad University |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
Page generated in 0.0018 seconds