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On Stock Index Volatility With Respect to Capitalization
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
2007 (English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

Condfidence in the future is a signicant factor for business development. However frequently, accurate and specific purposes are spread over the market environment influence.Thus,it is necessary to make an appropriate consideration of instability, which is peculiar to the dynamic development. Volatility, variance and standard deviation are used to

characterize the deviation of the investigated quantity from mean value.

Volatility is one of the main instruments to measure the risk of the asset.

The increasing availability of financial market data has enlarged volatility research potential but has also encouraged research into longer horizon volatility forecasts.

In this paper we investigate stock index volatility with respect to capitalization with help of GARCH-modelling.

There are chosen three indexes of OMX Nordic Exchange for our research. The Nordic list segment indexes comprising Nordic Large Cap,

Mid Cap and Small Cap are based on the three market capitalization groups.

We implement GARCH-modeling for considering indexes and compare our results in order to conclude which ones of the indexes is more volatile.

The OMX Nordic list indexis quiet new(2002)and reorganized as late as October 2006. The current value is now about 300 and no options do exist. In current work we are also interested in estimation of the Heston

model(SVmodel), which is popular in financial world and can be used in option pricing in the future.

The results of our investigations show that Large Cap Index is more volatile then Middle and Small Cap Indexes.

Place, publisher, year, edition, pages
Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) , 2007.
Keywords [en]
GARCH models, Volatility, Heston Model, Index
Identifiers
URN: urn:nbn:se:hh:diva-1189Local ID: 2082/1568OAI: oai:DiVA.org:hh-1189DiVA, id: diva2:238407
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-02-29 Created: 2008-02-29 Last updated: 2009-10-26

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf