Stacionarnost GARCH procesa i primjene

Stojanović, Daniel (2016) Stacionarnost GARCH procesa i primjene. Diploma thesis, Faculty of Science > Department of Mathematics.

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Abstract

Main topic of this thesis is strong stationarity of GARCH processes. Stationarity is very important in eventual future values forecasting. Because of its good properties, especially its variable conditional variance, GARCH models are very good at capturing important properties of financial time series. Regarding stationarity of the general GARCH(p,q) case, we also introduce the Lyapunov exponent that plays an integral role in determining the existence of strong stationary solution to GARCH models. We should also note that this solution is unique, nonanticipative and ergodic. In the end, thesis also puts GARCH modeling into use by estimating Value-at-Risk for two stock indices, showing the way GARCH models can be used for risk management.

Item Type: Thesis (Diploma thesis)
Supervisor: Slijepčević, Siniša
Date: 2016
Number of Pages: 41
Subjects: NATURAL SCIENCES > Mathematics
Divisions: Faculty of Science > Department of Mathematics
Depositing User: Iva Prah
Date Deposited: 26 Aug 2016 08:16
Last Modified: 26 Aug 2016 08:16
URI: http://digre.pmf.unizg.hr/id/eprint/4997

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