Stock exchange market prices and their empirical analysis using Black Scholes and Garch models

A tétel rövid nézete
dc.contributor.advisorGáll, József
dc.contributor.authorPeter, Daniel Kalasa
dc.contributor.departmentDE--Természettudományi és Technológiai Kar--Biológiai és Ökológiai Intézet
dc.date.accessioned2023-04-28T10:49:20Z
dc.date.available2023-04-28T10:49:20Z
dc.date.created2023-04-28
dc.description.abstractMy thesis tittled, "STOCK EXCHANGE MARKET PRICES AND THEIR EMPIRICAL ANALYSIS USING THE BLACK SCHOLES AND GARCH MODELS" , basically aims at investigating the two major critics of the Black Scholes Model that is, its assumption that the returns of the underlying assets in a financial market are normally distributed and that the volatility during this time is assumed to be constant. This was achieved by using NASDAQ Composite Index 2014-2018 dataset where this model was also compared with one of the most accurate GARCH Models between GARCH(1,1), EGARCH(1,1), IGARCH(1,1) and FIGARCH(1,0,1). Statistical tools such as Root Mean Squared and Information Criterions (Bayesian and Akaike) were employed to determine the accuracy. The study also recommends according to the findings on whether and why either Black Scholes Model and one of the GARCH Models is better than the other in volatility forecasting.
dc.description.correctorLB
dc.description.courseAPPLIED MATHEMATICS
dc.description.degreeMSc/MA
dc.format.extent39 Pages
dc.identifier.urihttps://hdl.handle.net/2437/351230
dc.language.isoen
dc.rights.accessHozzáférhető a 2022 decemberi felsőoktatási törvénymódosítás értelmében.
dc.subjectvolatility
dc.subjectforecasting
dc.subjectautocorrelation
dc.subject.dspaceDEENK Témalista::Matematika::Matematikai analízis
dc.titleStock exchange market prices and their empirical analysis using Black Scholes and Garch models
dc.title.translatedTőzde piaci árak és ezek empirikus elemzése Black Scholes és Garch modellek használatával
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Theses (Faculty of Science and Technology)