Term of Award
Spring 2016
Degree Name
Master of Science in Mathematics (M.S.)
Document Type and Release Option
Thesis (open access)
Copyright Statement / License for Reuse
This work is licensed under a Creative Commons Attribution 4.0 License.
Department
Department of Mathematical Sciences
Committee Chair
Tharanga Wickramarachchi
Committee Member 1
Patricia Humphrey
Committee Member 2
Arpita Chatterjee
Committee Member 3
Stephen Carden
Committee Member 3 Email
scarden@georgiasouthern.edu
Abstract
Typical General Autoregressive Conditional Heteroskedastic (GARCH) processes involve normally-distributed errors, and they model strictly-positive error processes poorly. This thesis will present a method for estimating the parameters of a GARCH(1,1) process with shifted Gamma-distributed errors, conduct a simulation study to test the method, and apply the method to real time series data.
Recommended Citation
Budd, Alan C., "GARCH(1,1) with Sifted Gamma-distributed Errors" (2016). Electronic Theses and Dissertations. 1409.
https://digitalcommons.georgiasouthern.edu/etd/1409
