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. T...
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| Format: | Others |
| Language: | English |
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Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics
2012
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-19141 |