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Document type:
Bachelorarbeit 
Author(s):
Granzer, Marlit 
Title:
Financial Time Series: ARMA and GARCH models 
Abstract:
In this bachelor thesis, methods to model financial time series, like the DAX index, are introduced. In the beginning, basic concepts of financial time series, like the stylized facts and white noise or the martingale difference are defined. Following, there is the introduction to the ARMA process, which stands for ""autoregressive moving average"". ""Autoregressive"" meaning that the observation X(t) depends on the previous observations X(t-i) and ""moving average"" implying that the mean is ca...    »
 
Advisor:
Dr. Min 
Referee:
Prof. Dr. Scherer 
Year:
2010 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik