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
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:451340 |
| Date | January 2021 |
| Creators | Turzová, Kristína |
| Contributors | Hudecová, Šárka, Cipra, Tomáš |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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