Volatility models in R
Journal: Digital Repository (National Repository of Grey Literature)
Year: 2017

This diploma thesis focuses on modeling volatility in financial time series. The main approach to modelling volatility is using GARCH models which can capture the variability of conditional volatility of time series. For modelling a conditional mean value in time series are used ARMA models. In the series there are usually not fulfilled the assumption of earnings normality, therefore, are the earnings in most cased characterized by the leptokurtic shape of distribution. The thesis introduces som