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http://hdl.handle.net/2445/188578
Title: | Aplicació de models GARCH a sèries temporals financeres |
Author: | Arbós Arrese, Guillem |
Director/Tutor: | Vives i Santa Eulàlia, Josep, 1963- |
Keywords: | Anàlisi de sèries temporals Treballs de fi de grau Matemàtica financera Models matemàtics Estadística matemàtica Time-series analysis Bachelor's theses Business mathematics Mathematical models Mathematical statistics |
Issue Date: | 12-Jun-2022 |
Abstract: | [en] The purpose of this work is to study the GARCH models and their application to financial time series. To achieve this, I first studied the basis of econometrics, the previous models to GARCH models and the reasons why they failed. After this, I researched GARCH models and some extensions of these models. Finally, I applied the knowledge learned in the theorical part of this work in order to fit a model into two different kind of financial time series: stock exchange and commodity exchange. |
Note: | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2022, Director: Josep Vives i Santa Eulàlia |
URI: | http://hdl.handle.net/2445/188578 |
Appears in Collections: | Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
File | Description | Size | Format | |
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tfg_arbos arrese_guillem.pdf | Memòria | 1.02 MB | Adobe PDF | View/Open |
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