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Title: Time series and stochastic volatility in finance Author: Iveta Kováčová Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc. Supervisor's e-mail address: hurt@karlin.mff.cuni.cz Abstract: Following thesis introduces the basic characteristics of autoregressive models ARCH and GARCH. Afterwards, it describes numerical calculation of estimation of their parameters. Finally, it applies the abovementioned models on concrete financial data (exchange rate EUR/CZK) by means of the Mathematica 8.0 program. |
