- Author
- Trešl Jiří (University of Economics, Prague, Czech Republic)
- Title
- Modelling of Volatility at Czech Financial Markets
Modelowanie zmienności na czeskich rynkach finansowych - Source
- Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2009, nr 66, s. 72-82, tab., rys., bibliogr. 8 poz.
Research Papers of Wrocław University of Economics - Issue title
- Towards Information-Based Welfare Society
- Keyword
- Procesy zmienności stochastycznej, Model GARCH, Rynek kapitałowy, Szeregi czasowe
Stochastic Volatility Processes, GARCH model, Capital market, Time-series - Note
- summ., streszcz.
- Abstract
- Istnieją dwa zasadnicze podejścia do modelowania zmienności (volatility): GARCH i modele stochastyczne. W artykule modele GARCH są zastosowane do wybranych szeregów czasowych dotyczących rynku kapitałowego, a także stopy wymiany. Pierwszy cel badawczy polegał na analizie zróżnicowania zachowań ze względu na zmianę skali czasu (dni, tygodnie, miesiące), drugi zaś na analizie różnicy między cenami giełdowymi a stopami wymiany. Ponadto wielowymiarowa wersja GARCH posłużyła do wykrycia możliwych związków między szeregami czasowymi. (abstrakt oryginalny)
At present, two principal approaches to volatility modelling exist: the GARCH and stochastic volatility models. In this paper, the GARCH models have been applied both to selected Czech capital market and exchange rates time series. The first aim of investigation consists in possible differences in behaviour with respect to time scale (days, weeks, months). The second level is given by differences between stock prices and exchange rates. Finally, besides univariate models, multivariate GARCH were also used to discover possible relations among different time series. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Full text
- Show
- Bibliography
-
- Alexander C., Market Models, Wiley, New York 2001.
- Bollerslev T., "Modelling the coherence in short-run nominal exchange rates: Multivariate generalized ARCH approach", Review of Economics and Statistics 1990, vol. 72, pp.498-505.
- Bollerslev T. et al., "Capital asset pricing model with time-varying covariances", Journal of Political Economy 1988, vol. 96, pp.116-131.
- Engle R., ARCH (Selected Readings), Oxford University Press, Oxford 1995.
- Engle R., Kroner K., "Multivariate simultaneous generalized ARCH", Econometric Theory 1995, vol. 11, pp.122-150.
- Franses P., van Dijk D., Non-Linear Time Series Models in Empirical Finance, Cambridge University Press, Cambridge 2006.
- Nelson D., "Conditional heteroscedasticity in asset returns: Anew approach", Econometrica 1991, vol. 59, pp. 347-370.
- Tsay R., Analysis of Financial Time Series, Wiley, New York 2002.
- Cited by
- ISSN
- 1899-3192
- Language
- eng
