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National Repository of Grey Literature 1 records found  Search took 0.01 seconds. 
GARCH model selection
 Turzová, Kristína ; Hudecová, Šárka (advisor) ; Cipra, Tomáš (referee)
The GARCH model estimates the volatility of a time series. Information criteria are often used to determine orders of the GARCH model, although their suit- ability is not known. This thesis focuses on the order selection of the GARCH model using information criteria. The simulation study investigates whether in- formation criteria are appropriate for the model selection and how the selection depends on the order, number of observations, distribution of innovations, estima- tion method or model parameters. The predictive capabilities of models selected by information criteria are compared to the true model. 1
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