Essays about: "Wenjing Su"
Found 1 essay containing the words Wenjing Su.
-
1. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility
University essay from Lunds universitet/Statistiska institutionenAbstract : 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
Result pages:
1