Date of Award
2012-01-01
Degree Name
Master of Science
Department
Mathematical Sciences
Advisor(s)
Maria Mariani
Abstract
This work investigates the underlying volatility processes in earthquake series, explosive series, high frequency (tick) data and financial indices. Furthermore it examines the applicability of a range of GARCH specifications for modeling volatility of these series in order to identify similarities and differences in the volatility structures. The GARCH
variants considered include the basic GARCH, IGARCH, ARFIMA (0,d,0)-GARCH and FIGARCH specifications. In all the applications the methodology provides insight into features of these series volatility.
Language
en
Provenance
Received from ProQuest
Copyright Date
2012
File Size
124 pages
File Format
application/pdf
Rights Holder
Francis Biney
Recommended Citation
Biney, Francis, "Study Of Volatility Structures In Geophysics And Finance Using Garch Models" (2012). Open Access Theses & Dissertations. 2044.
https://scholarworks.utep.edu/open_etd/2044