Do CDS Spreads Predict Bank Volatility? Evidence from the Swedish Banking Sector
This thesis investigates whether Credit Default Swap (CDS) spreads predict bank stock volatility in the Swedish banking sector, focusing on Nordea, Swedbank, Handelsbanken, and SEB from July 2, 2008, to April 4, 2025. Employing ARCH-M, GARCH, GJR-GARCH, and EGARCH volatility models within a Vector Autoregressive (VAR) framework, the thesis examines Granger causality across the Global Financial Cri
