Aplicació de models GARCH a sèries temporals financeres

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2022, Director: Josep Vives i Santa Eulàlia[en] The purpose of this work is to study the GARCH models and their application to financial time series. To achieve this, I first studied the basis of econometrics, the previous models to GARCH models and the reasons why they failed. After this, I researched GARCH models and some extensions of these models. Finally, I applied the knowledge learned in the theorical part of this work in order to fit a model into two different kind of financial time series: stock exchange and commodity exchange