Stationarity, Mixing, Distributional
Properties and Moments of
GARCH(p, q)Processes
Alexander M. Lindner
Abstract This paper collects some of the well known probabilistic properties
of GARCH(p, q) processes. In particular, we address the question of stric
Forecasting II
(forecasting with ARMA models)
There are two kind of forecasters: those who dont know and those who dont know they dont know
John Kenneth Galbraith (1993)
Gloria Gonzlez-Rivera
University of California, Riverside
and
Jess Gonzalo U. Carlos
On Estimation of GARCH Models with an
Application to Nordea Stock Prices
Chao Li
U.U.D.M. Project Report 2007:6
Examensarbete i matematik, 20 pong
Handledare och examinator: Silvelyn Zwanzig
Januari 2007
Department of Mathematics
Uppsala University
On Est
Assignment 1.
1. The daily log return on a stock are independent and normally distributed
with mean 0.001 and standard deviation 0.015. Suppose you buy $1000
worth of this stock.
a) What is the probability that after one trading day your investment is
wor
S681 Financial Statistics
Homework 1
Feb 8 2012
Cheng-Han Yu
Textbook: Ruppert, D. (2011) Statistics and Data Analysis for Financial Engineering,
Springer, New York.
1. Chapter 2 Problem 2 (1) Compute the log returns for GM and (2) plot the returns
versus
