Home > Search Results: keywords:"ARCH(∞)|volatility|heteroskedasticity|IGARCH|FIGARCH|HYGARCH"
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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Linear volatility modeling in financial time series
 Kollárová, Dominika ; Zichová, Jitka (advisor) ; Hendrych, Radek (referee)
The aim of this master thesis is to introduce models belonging to ARCH(∞) representation where a time series volatility is modelled as a linear function of squared residuals. Specifically, the thesis deals with models IGARCH, FIGARCH and HYGARCH that are used to analyse, model and predict a development of financial time series. Definition and graphical illustration of individual models together with their application on real data, is supplemented by a simulation study of first-order FIGARCH model.
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