Μελέτη και εκτίμηση υποδειγμάτων με στοχαστική αβεβαιότητα
Ψωμάς, Αθανάσιος Δ.
The violation of homoscedasticity in econometric analysis for time series data is usually confronted by the aid of GARCH models, where the variance follows a certain pattern of development. An alternative approach for handling this problem is by exploiting stochastic models of volatility (SV - models), which include a variable sensitive to changes which is stochastic. This thesis describes the GARCH and SV models and illustrates how these methods can be applied to log equity returns of European Telecommunication Companies.