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Výběr řádu GARCH modelu / GARCH model selection

The GARCH model estimates the volatility of a time series. Information criteria are often used to determine orders of the GARCH model, although their suit- ability is not known. This thesis focuses on the order selection of the GARCH model using information criteria. The simulation study investigates whether in- formation criteria are appropriate for the model selection and how the selection depends on the order, number of observations, distribution of innovations, estima- tion method or model parameters. The predictive capabilities of models selected by information criteria are compared to the true model. 1

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:451340
Date January 2021
CreatorsTurzová, Kristína
ContributorsHudecová, Šárka, Cipra, Tomáš
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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