Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/125023
Title: | Modelos Arch i Garch: aplicación a series financieras |
Author: | Amate Vicente, Kevin |
Director/Tutor: | Vives i Santa Eulàlia, Josep, 1963- |
Keywords: | Anàlisi de sèries temporals Treballs de fi de grau Mercat financer Futurs financers Time-series analysis Bachelor's theses Financial market Financial futures |
Issue Date: | 27-Jun-2018 |
Abstract: | [en] In this paper we explain the theory related to the models with conditional autoregressive heterocedasticity ARCH and GARCH, which as its name indicates are based on modeling with the premise of having a conditional variability that depends on past values. Subsequently, techniques are applied to adjust these models to various financial series, the most appropriate for these models. |
Note: | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2018, Director: Josep Vives i Santa Eulàlia |
URI: | http://hdl.handle.net/2445/125023 |
Appears in Collections: | Programari - Treballs de l'alumnat Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
File | Description | Size | Format | |
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memoria.pdf | Memòria | 2.11 MB | Adobe PDF | View/Open |
codi_font.zip | Codi font | 297.74 kB | zip | View/Open |
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