Modelos Arch i Garch: aplicación a series financieras

[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.

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2018, Director: Josep Vives i Santa Eulàlia

Country

Spain

Related Organizations

University of Barcelona
Spain

Keywords

Futurs financers, Bachelor's thesis, Time-series analysis, Bachelor's theses, Anàlisi de sèries temporals, Financial futures, Treballs de fi de grau, Financial market, Mercat financer

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