Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/68923
Title: Modelització de dades financeres mitjançant models Garch
Author: Marín Marín, Iván
Director: Vives i Santa Eulàlia, Josep, 1963-
Keywords: Teoria de la predicció
Tesis
Anàlisi de sèries temporals
Finances
Risc (Economia)
Prediction theory
Theses
Time-series analysis
Finance
Risk
Issue Date: 30-Jun-2015
Abstract: The aim of this undergraduate thesis is to get into the world of volatility models and forecasting. It is also wanted to familiarize myself with the economic environment and vocabulary. To make that possible, a basic study about the ARCH/GARCH model family is done. The thesis could be divided in three sections. The first one, an introduction of previous models and concepts needed for the study. Secondly, the development of the ARCH theory, and finally, the practical study of the SP500 index where we use the knowledge aquired during previous chapters.
Note: Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2015, Director: Josep Vives i Santa Eulàlia
URI: http://hdl.handle.net/2445/68923
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

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