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1. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility
Magister-uppsats, Lunds universitet/Statistiska institutionenSammanfattning : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. LÄS MER
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