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master's thesis
Stacionarnost GARCH procesa i primjene
Zagreb: University of Zagreb, Faculty of Science, 2016. urn:nbn:hr:217:337869
Stojanović, Daniel
University of Zagreb
Faculty of Science
Department of Mathematics

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Stojanović, D. (2016). Stacionarnost GARCH procesa i primjene (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:337869

Stojanović, Daniel. "Stacionarnost GARCH procesa i primjene." Master's thesis, University of Zagreb, Faculty of Science, 2016. https://urn.nsk.hr/urn:nbn:hr:217:337869

Stojanović, Daniel. "Stacionarnost GARCH procesa i primjene." Master's thesis, University of Zagreb, Faculty of Science, 2016. https://urn.nsk.hr/urn:nbn:hr:217:337869

Stojanović, D. (2016). 'Stacionarnost GARCH procesa i primjene', Master's thesis, University of Zagreb, Faculty of Science, accessed 16 April 2024, https://urn.nsk.hr/urn:nbn:hr:217:337869

Stojanović D. Stacionarnost GARCH procesa i primjene [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2016 [cited 2024 April 16] Available at: https://urn.nsk.hr/urn:nbn:hr:217:337869

D. Stojanović, "Stacionarnost GARCH procesa i primjene", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2016. Available at: https://urn.nsk.hr/urn:nbn:hr:217:337869

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Metadata
TitleStacionarnost GARCH procesa i primjene
AuthorDaniel Stojanović
MentorSiniša Slijepčević (mentor)
Committee memberSiniša Slijepčević (predsjednik povjerenstva)
Committee memberMiljenko Marušić (član povjerenstva)
Committee memberTina Bosner (član povjerenstva)
Committee memberMarko Vrdoljak (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2016-07-14, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
Glavna tema rada je stacionarnost GARCH procesa. Stacionarnost je bitna kako bi se model mogao koristiti u procjeni budućih vrijednosti vremenskog niza. Zbog povoljnih svojstava GARCH procesa, posebice zbog nekonstantne uvjetne varijance, oni mogu vrlo dobro opisivati vremenske nizove u financijskom svijetu. U kontekstu stacionarnosti općeg GARCH(p,q) procesa, uvodimo i vrlo bitan pojam Ljapunovljevog eksponenta čija će negativnost značiti jaku stacionarnost rješenja jakog GARCH modela. Važno je naglasiti da su ta rješenja također jedinstvena, neanticipativna i ergodska. Također, na kraju se rad bavi i primjenom GARCH modela u upravljanju rizicima trgovine na financijskom tržištu, kroz procjenu VaR-a za burzovne indekse FTSE100 i CROBEX.
Abstract (english)
Main topic of this thesis is strong stationarity of GARCH processes. Stationarity is very important in eventual future values forecasting. Because of its good properties, especially its variable conditional variance, GARCH models are very good at capturing important properties of financial time series. Regarding stationarity of the general GARCH(p,q) case, we also introduce the Lyapunov exponent that plays an integral role in determining the existence of strong stationary solution to GARCH models. We should also note that this solution is unique, nonanticipative and ergodic. In the end, thesis also puts GARCH modeling into use by estimating Value-at-Risk for two stock indices, showing the way GARCH models can be used for risk management.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:337869
Study programmeTitle: Finance and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
RepositoryRepository of the Faculty of Science
Created on2019-02-07 13:36:45

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