Global ETD Search

1	Modelování volatility na vybraném akciovém trhu / Volatility Modelling of the Selected Stock Market VRÁNOVÁ, Eliška January 2016 (has links) The diploma thesis deals with modelling of time series (stock and commodities) by using the models of volatility. The theoretical part focuses on the term of volatility and other terms connected to it. There is a theoretical description of the models as well. The practical part of the thesis focuses on the analysis of the time series and modelling of volatility using the program R.
2	Univariate GARCH models with realized variance Börjesson, Carl, Löhnn, Ossian January 2019 (has links) This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. The results are ambiguous - the models with realized variance improves the model fit, but when applied to forecasting, the models with realized variance are performing similar Value at Risk predictions compared to the models without realized variance. GARCH EGARCH GJRGARCH external regressor realized variance volatility Value at Risk nig Normal inverse gaussian std Student’s t distribution norm Normal distribution rugarch rolling forecast Probability Theory and Statistics Sannolikhetsteori och statistik