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Extremal dependency:The GARCH(1,1) model and an Agent based model
Linnaeus University, Faculty of Engineering and Technology, Department of Mathematics.
2013 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis focuses on stochastic processes and some of their properties are investigated which are necessary to determine the tools, the extremal index and the extremogram. Both mathematical tools measure extremal dependency within random time series. Two different models are introduced and related properties are discussed. The probability function of the Agent based model is surveyed explicitly and strong stationarity is proven. Data sets for both processes are simulated and clustering of the data is investigated with two different methods. Finally an estimation of the extremogram is used to interpret dependency of extremes within the data.

Place, publisher, year, edition, pages
2013. , 47 p.
Keyword [en]
The GARCH(1, 1) model, The Agent based model, Stationarity, Regular variation, Extremogram.
National Category
Probability Theory and Statistics
URN: urn:nbn:se:lnu:diva-24735OAI: diva2:610523
Subject / course
Matematisk statistik
Educational program
Mathematics and Modelling, Master Programme, 120 credits
2013-03-06, B2034, Linnaeus University, Växjö, 15:15 (English)
Physics, Chemistry, Mathematics
Available from: 2013-03-12 Created: 2013-03-11 Last updated: 2013-03-12Bibliographically approved

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Department of Mathematics
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ReferencesLink to record
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