Sökning: "Autoregressive gamma variance Gaussian mixture model"

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  1. 1. A simple model of volatility in financial data - An alternative to GARCH models

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Alexandra Milton; Marcus Svensson; [2019]
    Nyckelord :Volatility; Financial time series; Autoregressive gamma process; Generalized Laplace distribution; Autoregressive gamma variance Gaussian mixture model; Mathematics and Statistics;

    Sammanfattning : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. LÄS MER