Sökning: "Malwina Maria Polak"

Hittade 1 uppsats innehållade orden Malwina Maria Polak.

  1. 1. Modeling exchange rate using symmetric and asymmetric GARCH models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Malwina Maria Polak; Marcelina Polak; [2016]
    Nyckelord :;

    Sammanfattning : This paper attempts to study GARCH-type models, with emphasis on fitting GARCH models to exchange rate return series. The symmetric GARCH(1,1) model is compared with the asymmetric EGARCH(1,1) model. Both models are analysed with different conditional distributions, namely Normal, Student's t and skew Student's t for the return innovation. LÄS MER