En analys av volatiliteten på Stockholmbörsen 2007-2009.

Abstract

This thesis examines the volatility on the Stockholm Stock Exchange during the Great Recession in 2007-2009. In order to examine whether the financial crisis had a larger impact on any sector the report investigate the differences in volatility of returns between three sectors; consumer goods, property and medical firms. With daily data from closing prices of the stocks, the returns of each index were compared to the returns of the benchmark index. To analyse the time series data the report focus on the GARCH(1,1)-model. GARCH (1,1)-model was estimated with a distribution assumption of Generalized Error Distribution (GED), where distinct differences appeared between the sectors. The estimated persistent volatility turned out to be lower in the property sectors but the volatility during the financial crises was higher compared to the other sectors including the benchmark index. The GARCH (1,1)-model seems to be a good adjustment for the financial time series due to the time-varying correlations and clusters in the data. Furthermore, the presence of ARCH validates the use of GARCH(1,1). The results of the GARCH (1,1)-model shows that the volatility between the sectors can be distinguished when comparing to the benchmark OMXSPI. Hence, the result can not examine whether the volatility is high in perspective of previous periods before the financial crises occurred.