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Correlation between Sector Indices of OMX Stockholm Exchange Market
Halmstad University.
(English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

In this paper we aim to investigate volatility and correlation of sector

indexes of Nordic Market. More precisely we work with OMX Stockholm

Exchange Indexes, considering the Paper, the Energy and the Bank

sectors.

We use daily returns over the period from 5 January 2001 to 13 April

2007 and compute and forecast return volatility using the GARCH(1; 1)

model. We also calculate the correlation matrix of the indexes.

The GARCH(1; 1) model ¯t the empirical data well for all three sectors

and can therefore be used for volatility forecasts. Here, we have pre-

dicted the one-day-ahead forecasts and based on these data calculated

the correlation matrix. The results from these calculations show that

all three sectors are highly correlated. We obtained however the small-

est correlation between Paper and Energy which was surprising as the

Paper industry is very energy consuming. This result indicates other

relations between Paper and Energy.

Keywords [en]
correlation, volatility forecast
Identifiers
URN: urn:nbn:se:hh:diva-1638Local ID: 2082/2019OAI: oai:DiVA.org:hh-1638DiVA, id: diva2:238856
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-06-25 Created: 2008-06-25 Last updated: 2009-10-26

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CiteExportLink to record
Permanent link

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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