Essays about: "Wenjing Su"

Found 1 essay containing the words Wenjing Su.

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

    University essay from Lunds universitet/Statistiska institutionen

    Author : Wenjing Su; Yiyu Huang; [2010]
    Keywords : Mathematics and Statistics;

    Abstract : 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. READ MORE