ARMA and GARCH models for silver, nickel and copper price returns
This thesis compares Auto Regressive Moving Average (ARMA) and Generalized Auto Regressive Conditional Heteroscedacity (GARCH) models for three metal commodities. ARMA models have an unconditionally non-random and constant variance, which typically serves well in effectively representing homoscedastic data. The GARCH models feature variable variance that is non-random when conditioning on the past