Sökning: "Yiyu Huang"

Hittade 1 uppsats innehållade orden Yiyu Huang.

  1. 1. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Wenjing Su; Yiyu Huang; [2010]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : 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