Date of Award
Master of Science
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.
Received from ProQuest
Biney, Francis, "Study Of Volatility Structures In Geophysics And Finance Using Garch Models" (2012). Open Access Theses & Dissertations. 2044.