Risk properties and parameter estimation on mean reversion and Garch models

Sypkens, Roelf

dc.contributor.advisor	Rapoo, E. M.
dc.contributor.author	Sypkens, Roelf
dc.date.accessioned	2011-02-23T08:59:57Z
dc.date.available	2011-02-23T08:59:57Z
dc.date.issued	2010-09
dc.identifier.citation	Sypkens, Roelf (2010) Risk properties and parameter estimation on mean reversion and Garch models, University of South Africa, Pretoria, <http://hdl.handle.net/10500/4049>	en
dc.identifier.uri	http://hdl.handle.net/10500/4049
dc.description.abstract	Most of the notations and terminological conventions used in this thesis are Statistical. The aim in risk management is to describe the risk factors present in time series. In order to group these risk factors, one needs to distinguish between different stochastic processes and put them into different classes. The risk factors discussed in this thesis are fat tails and mean reversion. The presence of these risk factors fist need to be found in the historical dataset. I will refer to the historical dataset as the original dataset. The Ljung- Box-Pierce test will be used in this thesis to determine if the distribution of the original dataset has mean reversion or no mean reversion.	en
dc.format.extent	1 online resource (viii, 102 leaves)
dc.language.iso	en	en
dc.subject	Garth models	en
dc.subject	Reversion	en
dc.subject.ddc	519.5
dc.subject.lcsh	Mathematical statistics
dc.subject.lcsh	Probabilities
dc.subject.lcsh	Finance -- Mathematical models
dc.subject.lcsh	GARCH model
dc.subject.lcsh	Mathematical models
dc.title	Risk properties and parameter estimation on mean reversion and Garch models	en
dc.type	Dissertation	en
dc.description.department	Mathematical Sciences
dc.description.degree	M. Sc. (Applied Mathematics)