Modelling volatilities of financial time series using the GARCH (1, 1) model

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Zhou, Ze (2013) Modelling volatilities of financial time series using the GARCH (1, 1) model. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

The autoregressive conditional heteroscedasticity (ARCH) model introduced by Engle (1982) and generalized autoregressive conditional heteroscedasticity (GARCH) model proposed by Bollseslev (1986) are such models that could model time varying volatility. Literally, ARCH/GARCH model take autocorrelation and heteroscedasticity into account when measuring volatility. The aim in this dissertation is to estimate the volatilities of real financial data using GARCH (1, 1) model.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 07 Mar 2014 10:30
Last Modified: 19 Oct 2017 13:29
URI: https://eprints.nottingham.ac.uk/id/eprint/26445

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