GARCH (p,q) ar ceturto momentu stabilizācija

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GARCH (p,q) ar ceturto momentu stabilizācija

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Maģistra darbā tiek pētīta GARCH(p,q) procesa, kuram eksistē 4. kārtas moments, stabilizācija. Pirmajā nodaļā tiek sniegts teorētisks izklāsts par GARCH(p,q) procesu un tā stacionaritātes apgabalu. Otrajā nodaļā tiek parādīts, kā ir aprēķināmi vienādojumi, kas atspoguļo 4. kārtas momenta un GARCH(p,q) procesa koeficientu sakarību, kā arī veikti aprēķini GARCH(2,1) un GARCH(2,2) procesam. Trešā nodaļā iegūtie vienādojumi GARCH(1,1), GARCH(2,1) un GARCH(2,2) procesiem tiek analizēti 3 gadījumos: kad multiplikatīvais troksnis sadalīts pēc Normālā sadalījuma, Vienmērīgā sadalījuma un Puasona sadalījuma likuma.

year	journal	country	edition	language
2007-01-01

https://dspace.lu.lv/dspace/handle/7/27368

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