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Dissertations / Theses on the topic 'Ganch'

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Published: 2 June 2025
Last updated: 31 July 2025

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1

Sundström, Dennis. "Automatized GARCH parameter estimation." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213725.

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This paper is about automatizing parameter estimation of GARCH type conditional volatility models for the sake of using it in an automated risk monitoring system. Many challenges arise with this task such as guaranteeing convergence, being able to yield reasonable results regardless of the quality of the data, accuracy versus speed of the algorithm to name a few. These problems are investigated and a robust framework for an algorithm is proposed, containing dimension reducing and constraint relaxing parameter space transformations with robust initial values. The algorithm is implemented in jav
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2

Solda, Grazielle Yumi. "Modelos de memória longa, GARCH e GARCH com memória longa para séries financeiras." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-03052008-170204/.

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O objetivo deste trabalho é apresentar e comparar diferentes métodos de modelagem da volatilidade (variância condicional) de séries temporais financeiras. O modelo ARFIMA é empregado para capturar o comportamento de memória longa observado na volatilidade de séries financeiras. Por sua vez, o modelo GARCH é utilizado para modelar a volatilidade variando no tempo destas séries. Finalmente, o modelo FIGARCH é utilizado para modelar a dinâmica dos retornos de séries temporais financeiras juntamente com sua volatilidade. Serão apresentados alguns estimadores para os parâmetros dos modelos estudado
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3

Zheng, Lingyu. "Estimation of the linkage matrix in O-GARCH model and GO-GARCH model." Diss., Temple University Libraries, 2010. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/102486.

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Statistics<br>Ph.D.<br>We propose new estimation methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The method can therefore be easily applied to high-dimensional systems without running into computational problems. The estimation is proved to be consistent and the asymptotic distribution is derived. We compare the performance with other estimation methods and demonstrate its super
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4

Shimizu, Kenichi. "Bootstrapping stationary ARMA-GARCH models." Wiesbaden Vieweg + Teubner, 2009. http://d-nb.info/996781153/04.

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5

He, Changli. "Statistical properties of GARCH processes." Doctoral thesis, Stockholm : Economic Research Insitute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1997. http://www.hhs.se/efi/summary/460.htm.

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6

Sepúlveda, Ana Margarida Queirós. "Modelos Heterocedásticos - ARCH e GARCH." Master's thesis, Faculdade de Economia da Universidade do Porto, 2010. http://hdl.handle.net/10216/57365.

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7

Sepúlveda, Ana Margarida Queirós. "Modelos Heterocedásticos - ARCH e GARCH." Dissertação, Faculdade de Economia da Universidade do Porto, 2010. http://hdl.handle.net/10216/57365.

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8

Hagerud, Gustaf E. "A new non-linear GARCH model." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1997. http://www.hhs.se/efi/summary/444.htm.

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9

許偉才 and Wai-choi Hui. "Optimal asset allocation under GARCH model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31222717.

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10

CALDEIRA, ANDRE MACHADO. "GARCH MODELS IDENTIFICATION USING COMPUTATIONAL INTELLIGENCE." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=14872@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>Os modelos ARCH e GARCH vêm sendo bastante explorados tanto tecnicamente quanto em estudos empíricos desde suas respectivas criações em 1982 e 1986. Contudo, o enfoque sempre foi na reprodução dos fatos estilizados das séries financeiras e na previsão de volatilidade, onde o GARCH(1,1) é o mais utilizado. Estudos sobre identificação dos modelos GARCH são muito raros. Diante desse contexto, este trabalho propõe um sistema inteligente para melhorar a identificação da correta especificação dos modelos GARCH, evitando assim o uso indiscriminado
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11

Prono, Todd Andrew. "Garch-based identification of endogenous regressors." Thesis, Boston College, 2006. http://hdl.handle.net/2345/1810.

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The first chapter presents new methods for identifying the structural parameters of linear triangular systems, simultaneous systems, and structural vector autoregressions. The second chapter presents a new method for identifying an endogenous regressor in linear models of time series data<br>Thesis (PhD) — Boston College, 2006<br>Submitted to: Boston College. Graduate School of Arts and Sciences<br>Discipline: Economics
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12

Sampaio, Jhames Matos. "Estimação indireta de modelos R-GARCH." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-05072012-195407/.

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Processos lineares não capturam a estrutura dos dados em finanças. Há uma variedade muito grande de modelos não lineares disponíveis na literatura. A classe de modelos ARCH (Autoregressive Conditional Heterokedastic) foi introduzida por Engle (1982) com o objetivo de estimar a variância da inflação. A idéia nesta classe é que os retornos sejam não correlacionados serialmente, mas a volatilidade (variância condicional) dependa de retornos passados. A classe de modelos GARCH (Generalized Autoregressive Conditional Heterokedastic) sugerida por Bollerslev (1986, 1987, 1988) pode ser usada para de
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13

ROCHA, Josefa Itailma da. "O teorema do gancho e aplicações." Universidade Federal de Campina Grande, 2011. http://dspace.sti.ufcg.edu.br:8080/jspui/handle/riufcg/1330.

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Submitted by Johnny Rodrigues (johnnyrodrigues@ufcg.edu.br) on 2018-08-02T20:44:35Z No. of bitstreams: 1 JOSEFA ITAILMA DA ROCHA - DISSERTAÇÃO PPGMAT 2011..pdf: 536621 bytes, checksum: 06e799bb53766cc5565089a6028e876f (MD5)<br>Made available in DSpace on 2018-08-02T20:44:35Z (GMT). No. of bitstreams: 1 JOSEFA ITAILMA DA ROCHA - DISSERTAÇÃO PPGMAT 2011..pdf: 536621 bytes, checksum: 06e799bb53766cc5565089a6028e876f (MD5) Previous issue date: 2011-12<br>Capes<br>Neste trabalho usamos a Teoria de Young para representações dos grupos simétricos no estudo de PI-álgebras. Amitai Regev (1972) intro
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14

Shadat, Wasel Bin. "Specification testing of Garch regression models." Thesis, University of Manchester, 2011. https://www.research.manchester.ac.uk/portal/en/theses/specification-testing-of-garch-regression-models(56c218db-9b91-4d8c-bf26-8377ab185c71).html.

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This thesis analyses, derives and evaluates specification tests of Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) regression models, both univariate and multivariate. Of particular interest, in the first half of the thesis, is the derivation of robust test procedures designed to assess the Constant Conditional Correlation (CCC) assumption often employed in multivariate GARCH (MGARCH) models. New asymptotically valid conditional moment tests are proposed which are simple to construct, easily implementable following the full or partial Quasi Maximum Likelihood (QML) estimatio
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15

Hui, Wai-choi. "Optimal asset allocation under GARCH model /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2160616X.

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16

Choden, C. Kezang. "Integer-valued ARCH and GARCH models." OpenSIUC, 2016. https://opensiuc.lib.siu.edu/theses/1990.

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The models for volatility, autoregressive conditional heteroscedastic (ARCH) and generalized autoregressive conditional heteroscedastic (GARCH) are discussed. Stationarity condition and forecasting for simple ARCH(1) and GARCH(1,1) models are given. The model for discrete time series is proposed to be negative binomial integer-valued GARCH model, which is a generalization of the Poisson INGARCH model. The stationarity conditions and the autocorrelation function are given. For parameter estimation, three methodologies are presented with a focus on maximum likelihood approach. Simulation stu
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17

Börjesson, Carl, and Ossian Löhnn. "Univariate GARCH models with realized variance." Thesis, Uppsala universitet, Statistiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-386073.

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This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. The results are ambiguous - the models with realized variance improves the model fit, but when applied to forecasting, the models with realized variance are performing similar Value at Risk predictions compared to the models without realized variance.
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18

Wu, Hao. "Forecasting the time-varying beta of UK and US firms: evidence from GARCH and non-GARCH models." Thesis, University of Southampton, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.494769.

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19

Wang, Yizhe. "A Study on GARCH volatility processes in pricing derivatives." Thesis, University of Bradford, 2017. http://hdl.handle.net/10454/17407.

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In this thesis the GARCH models are applied to evaluate financial options and futures. In the first application, the GARCH models in parsimonious form are studied for pricing the S&P500 options. Unlike previous studies that focus on developed formulation, the results indicate that simplified models provide effective performance and it is the simple GARCH model that yields the least valuation error. To our consideration, examining model possessing simplification is of practical importance because model estimation becomes readily accessible through available econometric software, which circumven
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20

Tabatabaei, Seyed Salim. "GANC: greedy agglomerative normalized cut." Thesis, McGill University, 2011. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=97213.

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Graph clustering is a very common problem that arise in various fields; e.g., social science, computer networks, bioinformatics, marketing, ecological networks, and political science.In this thesis, several classes of graph clustering algorithms and ideas are reviewed. Furthermore a novel graph clustering algorithm is presented. The algorithm strives to optimize the normalized cut metric, which has proven to be a meaningful assessment of the quality of a clustering, since it takes into account both the similarity of nodes within the same cluster and the dissimilarities of nodes within differen
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21

Koether, Paul. "GARCH-like models with dynamic crash-probabilities." [S.l.] : [s.n.], 2005. http://deposit.ddb.de/cgi-bin/dokserv?idn=976610248.

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22

Enocksson, David, and Joakim Skoog. "Evaluating VaR with the ARCH/GARCH Family." Thesis, Uppsala universitet, Statistiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

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The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the model is estimated. We estimate 1-day-ahead and10-days-ahead Value-at-Risk on a number of exchange rates. The Value-at-Risk estimates arebased on three models combined with three distributional assumptions of the innovations, andthe evaluations are made with Kupiec's (1995) test for unconditional coverage. The data rangesfrom January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) andGJR-GARCH(1,1) with normally distributed innova
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23

Khalilzadeh, Amir Hossein. "Variance Dependent Pricing Kernels in GARCH Models." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-180373.

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24

Skoglund, Jimmy. "Essays on random effects models and GARCH." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi.summary/553.htm.

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25

Bezerra, Pedro Correia Santos. "SVR-GARCH com misturas de kernels gaussianos." reponame:Repositório Institucional da UnB, 2016. http://repositorio.unb.br/handle/10482/20864.

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Dissertação (mestrado)—Universidade de Brasília, Departamento de Administração, Programa de Pós-graduação em Administração, 2016.<br>Submitted by Fernanda Percia França (fernandafranca@bce.unb.br) on 2016-06-24T13:54:25Z No. of bitstreams: 1 2016_PedroCorreiaSantosBezerra.pdf: 1873991 bytes, checksum: 4cf775ac8f467cc83417f0bfde464f97 (MD5)<br>Approved for entry into archive by Raquel Viana(raquelviana@bce.unb.br) on 2016-07-04T20:32:00Z (GMT) No. of bitstreams: 1 2016_PedroCorreiaSantosBezerra.pdf: 1873991 bytes, checksum: 4cf775ac8f467cc83417f0bfde464f97 (MD5)<br>Made available in DSpace on
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26

Hamadeh, Tawfik. "Inférence statistique de modèles GARCH non linéaires." Lille 3, 2010. http://www.theses.fr/2010LIL30048.

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Dans cette thèse, nous étudions les problèmes d'estimation et de tests d'hypothèses de deux vastes classes de modèles GARCH non linéaires. Tout d'abord, nous considérons plusieurs méthodes d'estimation d'une classe de modèles GARCH à seuil en puissance. Sous des conditions très faibles, nous étudions les propriétés asymptotiques de ces estimateurs dans les deux situations suivantes. Dans un premier temps nous supposons la puissance connue. Nous établissons les propriétés de l'estimateur du quasi-maximum de vraisemblance (QMV). Nous considérons également deux suites d'estimateurs des moindres-c
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27

HENRIKSSON, JIMMY. "A test of GARCH models onCoCo bonds." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-300040.

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This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. Specifically, the models investigated are the Random Walk model, ARCH(1), ARCH(2), ARCH(3), GARCH(1,1), GARCH(1,2), GARCH(2,1), and the GARCH(2,2)model. The data set used in this report is 47 European AT1 CoCo bonds from 20 different issuers.The results show that 42 out of
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28

Sze, Mei Ki. "Mixed portmanteau test for ARMA-GARCH models /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20SZE.

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Malmsten, Hans. "Properties and evaluation of volatility models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2004. http://www.hhs.se/efi/summary/641.htm.

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30

Näsström, Jens. "Volatility Modelling of Asset Prices using GARCH Models." Thesis, Linköping University, Department of Electrical Engineering, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1625.

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<p>The objective for this master thesis is to investigate the possibility to predict the risk of stocks in financial markets. The data used for model estimation has been gathered from different branches and different European countries. The four data series that are used in the estimation are price series from: Münchner Rück, Suez-Lyonnaise des Eaux, Volkswagen and OMX, a Swedish stock index. The risk prediction is done with univariate GARCH models. GARCH models are estimated and validated for these four data series. </p><p>Conclusions are drawn regarding different GARCH models, their numbers
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31

Wickramarachchi, Tharanga. "Dow Jones Index, GARCH (1,1) and change-points." Connect to this title online, 2008. http://etd.lib.clemson.edu/documents/1211390409/.

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32

Stanescu, Silvia. "On the Higher Conditional Moments of GARCH Processes." Thesis, University of Reading, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533789.

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33

Yacouba, Abdou Adamou. "Estimation d'un modele Arch-Garch avec primes d'asymetrie." Thesis, Université Laval, 2013. http://www.theses.ulaval.ca/2013/29839/29839.pdf.

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L’objectif de cette étude est de développer et analyser les déterminants du rendement excédentaire (ou prime de marché) des actifs financiers dans l’hypothèse que ces derniers suivent une loi normale asymétrique. Ainsi, sous la base de cette hypothèse, nous avons élaboré un modèle dans lequel le rendement excédentaire de l’actif financier en question est déterminé par l’effet combiné du coefficient d’asymétrie(skewness), de la prime de risque et de sa variance (ou volatilité). Par la suite nous avons estimé ce modèle en supposant que la variance suit un processus ARCH-GARCH . L’analyse empiriq
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34

Nakatani, Tomoaki. "Four Essays on Building Conditional Correlation GARCH Models." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-952.

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This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. In the first three chapters, misspecification testing and parameter restrictions in these models are discussed. In the final chapter, a computer package for building major variants of the CC-GARCH models is presented. The first chapter contains a brief introduction to the CC-GARCH models as well as a summary of each re
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35

Wei-Li, Zhuang. "GARCH VEGA." 2002. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611325963.

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Zhuang, Wei-Li, and 莊偉立. "GARCH VEGA." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/62613356871358782656.

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碩士<br>元智大學<br>財務金融研究所<br>90<br>In this paper, we show the argument that equity holders prefer more risk in the Black-Scholes framework depends on the underlying assets of the firm follow continuously log-normal stochastic process. When the underlying asset process is replaced by the GARCH(1,1) process, the argument is not always established. We use the pathwise method developed by Broadie and Glasserman (1996) to derive the GARCH vega through Monte Carlo simulation. We find that for large unit risk premium and for deep-in-the-money option, GARCH vega is negative. This overthrows the equity hol
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Chen, Ming-Tien, and 陳明田. "On Bayesian model selection for GARCH and threshold GARCH models." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/e784gd.

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Wu, Chih-Pei, and 伍智培. "Evaluate the DCC-GARCH and Realized-GARCH model hedging performance." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/86112822973360507755.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>101<br>In this paper , we used the data from Chicago Mercantile Exchange which trades S&P 500 futures prices and spot prices as the main object of study . The researching period was from 1 January 2002 to 31 December 2008 ended, in which the in-the-sample period was set in 1 January 2002 to 31 December 2006 , and the out-of-sample heding period was set in 1 January 2007 to 31 December 2008 , using the rolling windows method to estimate it .The paper used the various methods to evaluate the out-of-sample hedging performance under the hedging models : Realized variance
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Wang, Chun-Kai, and 王俊凱. "GARCH and Fuzzy GARCH Model for Forecasting the Inter-bank Offered Rate." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/35602139634716616188.

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碩士<br>萬能科技大學<br>經營管理研究所<br>97<br>Inter-bank interest rates that based on the currency market is one of the indicators of short-term interest rates, so interest rates in the entire economic activities play an important role. This paper is the first time in this study of fuzzy time series with the GARCH. From the advantages of combining Fuzzy-GARCH model as a forecast to the financial industry as the call loan rate information on empirical studies to compare Fuzzy-GARCH and GARCH forecast performance. The results showed that the use of this study, the GARCH model and Fuzzy-GARCH models to predic
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張明淇. "GARCH Models With Jumps." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/83655932490062006108.

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碩士<br>國立交通大學<br>應用數學系所<br>93<br>In this paper, we mainly use the GARCH model with Jumps to describe the exchange rates market and compare the performance of models with jumps and without jumps. In addition, we will use the martingale theory and the argument of the utility maximization to derive the risk-neutral process and use the Monte Carlo simulation to find the option price.
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Liao, Li-na, and 廖麗娜. "Double Markov Switching GARCH Models." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/37885659092168474199.

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碩士<br>逢甲大學<br>統計與精算所<br>94<br>In this paper we consider a double Markov switching GARCH model with fat-tailed error distribution for analyzing asymmetric effects on mean and volatility in financial markets. The characteristic of our model is that a regime variable from one state to another is an unobserved variable which is assumed to be a first-order Markov process. We use Markov chain Monte Carlo methods to make statistical inference. In simulation study, we set sensitivity analysis for transition probabilities and then compare these results. As to empirical study, we apply for our DMS-GARCH
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Cheng, Kai-Ming, and 鄭開明. "Liquidity on GARCH Option Pricing." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/53880316693439430456.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>96<br>Many empirical researches have indicated that the Black-Scholes option pricing model demonstrate systematic biases due to some unreasonable assumptions. In practice, Black-Scholes implied volatilities tend to vary depending on moneyness and time to maturities. In response to this problem, many researchers have devoted themselves to creating new option pricing models. In this paper, the pricing efficiency of Heston and Nandi GARCH (HN GARCH) model is examined on the AMEX option market. A total of twelve companies are sampled and classified by liquidity (trade v
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Costa, Francisco João Matos. "Forecasting volatility using GARCH models." Master's thesis, 2017. http://hdl.handle.net/1822/46456.

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Dissertação de mestrado em Finanças<br>Esta dissertação tem como ponto central a previsão da volatilidade usando vários modelos GARCH (General autoregressive conditional heteroeskedasticity) de modo a testar qual tem a melhor capacidade de previsão. O foco desta dissertação é o estudo do mercado dos EUA.Os dados usados para este estudo são cotações do NASDAQ-100, de 1986 até 2016. Neste estudo são considerados três períodos de estimação para os modelos GARCH: 500 dias, 1000 dias e 2000 dias de modo a minimizar a possível presença de mudanças na estrutura dos dados. Regressões lineares (Mincer-
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Cheng, Kai-Ming. "Liquidity on GARCH Option Pricing." 2008. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2106200814311200.

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Chang, Yi-Cheng, and 張益誠. "Applications of HAR-GARCH Models." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/dy2tky.

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碩士<br>國立高雄大學<br>統計學研究所<br>107<br>This study proposes to construct association rules for global economic conditions by fitting hysteretic autoregressive models with GARCH in mean effects, denoted by HAR-GARCH, to financial time series. A Markov Chain Monte Carlo algorithm is employed to estimate the model parameters and the economic conditions of a financial market are obtained accordingly. In the empirical study, we collect 13 global stock market indices from August 1, 2008, to August 30, 2018, and fit HAR-GARCH models for their daily returns. The association rules of the 13 stock markets are
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Lee, Kuo-Ming, and 李國銘. "Uncovered Interested Parity and Risk Premium—The Application of GARCH-M and GARCH-X model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/99222512415595744579.

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碩士<br>國立中央大學<br>產業經濟研究所<br>96<br>Substantial empirical literature has rejected the ‘simple efficiency’ hypothesis of the foreign exchange market. A recognized alternative hypothesis is that a risk premium exists. This paper further uses the hypotheses which assume that people have the same risk-aversion attitude to different countries. This paper attempts to present two empirical models which postulate the risk premium as a function of the conditional variance of market forecast errors. I use GARCH-M and GARCH-X model to model the forecast errors. They have provided a convenient framework
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Cheng, Yung-An, and 陳泳安. "Raw materials commodity price index fluctuation analysis- Application of GARCH Model &MS-GARCH Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/28828500268452509522.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>98<br>This research analyzes the feature of commodities future index price. There are four kind of data be adopted in this research. To compare the difference return ratios between MRS-GARCH model and GARCH model we found that all results performed in MRS-GARCH model are quite well than GARCH model. We found that if included the different situation of economy in MRS-GARCH model. It could perform well results. There are three distributions in the assumptions of data. Student’s distribution can state the situation of economy clearly. All of return ratios that me
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Nováková, Martina. "Mnohorozměrné modely zobecněné autoregresní podmíněné heteroskedasticity." Master's thesis, 2021. http://www.nusl.cz/ntk/nusl-437910.

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This master thesis deals with extension of the univariate GARCH model to multivari- ate models. We present individual models and deal with methods of their estimation. Then we describe some statistical tests for diagnosting the models. We have programmed in the statistical software R one of them - the Ling-Li test. Afterwards we apply selected models to real data of stock market index S&P 500, stock market index Russell 2000 and stocks of crude oil. For the GO-GARCH model, we compare all available estimation methods and show their differences. Then we compare the results of all models with eac
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Chang, Shu-Yi, and 張淑怡. "Apply VaR Model from Orthogonal Garch and Garch Bootstrap to the Research of Domestic Mutual Fund." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/28002262519702247859.

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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>92<br>Due to domestic investigations are focus more on VaR of stocks, bonds, and foreign exchange, but less on mutual fund. And investigation of mutual fund are more on simulation-based method (ex. Monte Carlo Simulation), but less are on paramentric-based method. Therefore, our research tries to use either GARCH(1,1) and Bootstrap method for estimated method to improve shortcomings of trditonal Delta-Normal method. In addition, our research incorporates Orthogonal GARCH and GARCH Bootstrap model which haven’t explore in past literatures to polish up shortcomings
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Yu-Chieh, Chang. "Parameters Estimation of the GARCH Model." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0407200617504000.

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