Forecasting the Volatility in Financial Assets using Conditional Variance Models
This thesis examines multiple ARCH-family models' volatility forecasting performance on the London Bullion Market Gold price, the OMXS30, and the USD/EUR exchange rate. Further, this thesis uses two different time periods to exploit differences and similarities in the forecast accuracy among the conditional variance models. The models we examine are the ARCH, the GARCH, the IGARCH, the EGARCH,
