Tid: 14 juni 2002 kl 1115-1200 (Obs! Dag och tid!)

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Lars Karlsson

Titel: GARCH-Modelling: Theoretical Survey, Model Implementation and Robustness Analysis. (Examensarbete)

Sammanfattning: In this thesis we survey GARCH modelling with special focus on the fitting of GARCH models to financial return series. The robustness of the estimation of the parameters in the model is examined with three different distributional assumptions for the innovations; the Gaussian distribution, the Student t distribution, and the GED (Generalized Error Distribution). Both the Student t distribution and the GED have fat tails. The maximum likelihood approach is used for the parameter estimation. Using backtesting, the related residuals under the three different distributional assumptions are examined. Furthermore, some fundamental concepts of financial time series analysis will be explained and some "stylized facts" of real returns will be examined.

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