Modelling volatilities of financial time series using the GARCH (1, 1) model
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 autocorrelati...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26445/ |