MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstract This paper estimates Serbian, Czech and US stock markets volatility. Few studies analyzed stock market linkages for these three markets. The mean equation is estimated using the vector auto- regression model. The second moments is further estimated using different multivariate GARCH models. We find that current conditional volatilities for each stock is highly affected by the past innovations. Cross-market correlations are significant as well. However, there is a higher conditional correlation between Czech and US stock market indices compared to the conditional correlation between Serbian and US stock indices.

In this thesis we examine the effect of foreign exchange interventions in small open economy, focusing on the Czech experience. In the first part we model volatility development before and after the intervention using GARCH model. In the second part we estimate relationship between macroeconomical variables using vector autoregressive model. In this part we estimate impulse response function of exchange rate and inflation. In second part of VAR modeling we provide counterfactual analysis, which compare actual development of variables with alternative scenario in which the interventions would not happen . Our results suggest that the interventions is associated with few months delayed decrease in volatility. Base on scenario analysis the interventions increased inflation by approximately 1.5 % and without the intervention the economy would in deflation around -1 % nowadays. KEYWORDS: Vector autoregression, Volatility modelling, Monetary policy, Intervention Author's e-mail: jantimko16@gmail.com Supervisor's e-mail: tomas.holub@cnb.cz

This paper examines the potential of Bitcoin, a decentralized digital currency, to pose competition to fiat currencies. To accomplish that, Bitcoin would have to become efficient as a store of value. Thus far, high volatility makes it inferior in that respect. We analyze the dynamics and drivers of Bitcoin volatility using GARCH and HAR models. Moreover, we test for presence of asymmetries displayed by stock, commodity and currency markets. That way we can conclude, whether volatility of Bitcoin behaves similarly to currencies, commodities or stocks. Lastly we reveal interconnections between these markets and market for Bitcoin. We find significant evidence for the leverage effect documented for stock market. Furthermore, the effect of trading volume, documented for currency markets, displays an opposite sign in our research. Results of spillover estimation suggest Bitcoin is the most interconnected with commodity market. Thus, we conclude Bitcoin does not behave similarly to currencies in terms of volatility; hence is not a good candidate to substitute them. JEL Classification E1, G1, G2, O3 Keywords Bitcoin, volatility, GARCH, leverage effect Author's e-mail 24805288@fsv.cuni.cz Supervisor's e-mail dedek@fsv.cuni.cz

The main purpose of this thesis is to propose the valuation method of PX index options. PX index consists of blue chip stocks traded on Prague Stock Exchange. There are traded a few futures contracts on PX index on Prague Stock Exchange. However, the options on PX index are traded neither on Prague Stock Exchange nor on the OTC market. It is reasonable to think that it is only question of time when the trading of these options will emerge and thus, it is highly relevant subject of research to propose the method for valuation of these options. The traditional Merton's approach for valuation of equity index options assumes constant volatility and constant risk free rate. This results in serious mispricing which can be easily seen when we compare market prices and Merton formula derived prices. Instead, this thesis releases the assumptions of constant risk free rate and constant volatility. Firstly, it is assumed that that the risk free rate is time dependent function based on current market expectations and secondly it is assumed that the volatility of underlying asset follows NGARCH-mean process. For the purpose of former, the validity of pure expectation theory assumption is made. This enables to employ the instantaneous forward rate curve estimation procedure. For the purpose of the latter, the locally risk-neutral valuation relationship is applied. The assumption of NGARCH-mean process is essential in an effort to capture usually observed patterns of volatility (volatility skews) whereas the assumption of time dependent risk free rate still moves the valuation option model closer to the reality. The author derives the expected path of risk free rate and estimates the parameters of NGARCH process. Subsequently, the empirical martingale Monte Carlo simulation is used to price the PX options with different moneyness and with different times to maturity. It is shown that this proposed model results in volatility pattern which is usually observed on developed markets and the author's results are in line with similar empirical studies testing the GARCH Option Pricing Theory. The author concludes that proposed valuation method superiors original Merton's model and thus is more appropriate for primary valuation of PX options.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / We analyse the role of financial and macro-economic variables in the conduct of monetary policy, particularly the role played by monetary policy in the house price boom of the early 2000s. The analysis is performed in the setup of a New Keynesian open economy. We estimate a five variable Recursive Vector Autoregressive model consisting of the short term interest rate, house prices, inflation, output and the exchange rate. Quarterly data from 1994 to 2011 was inputted in Eviews (6) to run the model. We find a significant causal relationship between the short term interest rate and house prices; the impulse response results show an instant response of house prices to a shock in monetary policy. We conclude that the house price boom of the early 2000s was partially attributed to an overreaction to a shock in monetary policy. We also find evidence of exchange rate pass- through to the consumer price index as in (Mishkin, 2008).We conclude that perhaps monetary policy should take cognisance of asset price fluctuations and exchange rate volatility in determining the policy instrument

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2015. / e period 2000:q1 – 2014:q3 in South Africa. In addition, the paper examines the impact that the exchange rate volatility exerts on the different forms of capital flows. Consequently, the aim of the study is to examine whether the volatility in the exchange rate is a significant determinant of foreign investor capital into South African markets as well as to empirically establish the dynamic relationship that can be observed between capital flows and exchange rate volatility. A trade weighted exchange rate was constructed from which the conditional variance GARCH (1,1) model is applied to estimate exchange rate volatility. The findings from the multiple regression analysis reveal that exchange rate volatility has a statistically significant negative impact on the aggregated capital flows to South Africa. Using the bi-variate vector autoregressions (VARs), the Granger-causality test, impulse response and variance decomposition, the results show there is a dynamic interrelationship between exchange rate volatility and the aggregated and disaggregated capital flows. Furthermore, the VAR specifications results reveal that portfolio flows exhibits a strong bi-directional causality with exchange rate volatility as well as explaining a significant percentage of innovations in exchange rate volatility. This suggests that fluctuations in the exchange rate can be explained by portfolio flows into South Africa’s capital markets. The recommendations for authorities resulting from the findings include, a monetary policy that mitigates the rand exchange rate volatility in an effort to attenuate the adverse subduing effects it has on capital flows in South Africa. Further broadening financial instruments and derivatives available for investors to hedge against exchange rate volatility and a meticulous management of portfolio flows is imperative to ensure prevention of its destabilizing effect on the exchange rate.

Bitcoin is a new evolutionary development within the internet and payment system. Its price has a high volatile nature what brings a lot of attention to this cryptocurrency. This paper investigates the price formation of the Bitcoin by looking at three determinants: speculative position, transaction volume and the utility users obtain from joining the network. To see the correlation between these determinants and the influence it has on the Bitcoin price a multiple regression model has been built over the time period from 2017 to 2019.  The model shows that the effect of speculation is heavier than any other variable, reflecting the uncertainty brought by the sensible sentiment of speculators and users.

O objetivo deste trabalho é investigar as relações entre a atividade de negócios, representada pelas variáveis de contratos em aberto e volume negociado, o conteúdo informacional dos diferentes grupos de participantes, categorizados pela bolsa brasileira, e a volatilidade diária e intradiária dos preços futuros para boi gordo, café arábica e milho, contratos agropecuários de maior liquidez na BMF&BOVESPA. O ferramental metodológico foi baseado nos trabalhos de Bessembiender e Seguin (1992), Daigler e Wiley (1999) e Wang (2002), amparados, majoritariamente, pela teoria de microestrutura de mercado e noise trading. Os resultados encontrados sugerem que existe relação entre contratos em aberto, volume negociado e volatilidade dos preços futuros. No caso de contratos em aberto, foi encontrada uma relação negativa (positiva) entre a série esperada (não esperada) e volatilidade, sendo que o impacto da série não esperada é superior, em magnitude, ao da série esperada. Para o volume negociado, em geral, há evidência de um efeito positivo do volume negociado (tanto esperado como não esperado) sobre a volatilidade, sendo que a série esperada apresentou maior impacto do que a série não esperada. Quanto ao conteúdo informacional dos participantes, no modelo com volatilidade diária, encontrou-se evidência de que choques de demanda de pessoa jurídica não financeira contribuiu para o aumento da variação dos preços futuros de boi gordo. No contrato de café arábica, o modelo sugere que choques de demanda de pessoa física influencia a volatilidade de forma positiva, enquanto que no contrato de milho, choques de demanda de todas as categorias de agentes, com exceção da pessoa jurídica não financeira, aparentemente atuam de forma a incrementar a volatilidade dos preços futuros. Desta forma, a separação da posição líquida não esperada e a avaliação do impacto positivo dos choques de demanda sobre a volatilidade sugerem que tais investidores são não informados. No âmbito da análise da volatilidade intradiária, os resultados obtidos são, majoritariamente, similares aos encontrados no modelo que analisa a volatilidade diária. Ademais, a regressão quantílica possibilitou o mapeamento completo dos impactos das variáveis analisadas, mostrando que há diferenças significativas em relação à influência das séries nos diferentes quantis da distribuição condicional da volatilidade, tanto diária quanto intradiária. / The objective of this study is to investigate the relationships between business activity, represented by the variables of open interest and trading volume, the information content of different groups of participants, categorized by the Brazilian exchange, and daily and intraday volatility of futures prices for live cattle, arabica coffee and corn, which are the Brazilian agricultural contracts that have greater liquidity. The methodological tool was based on the works of Bessembiender and Seguin (1992), Daigler and Wiley (1999) and Wang (2002), supported mostly by the market microstructure theory and noise trading. The results suggest that there is a relationship between open interest, trading volume and volatility of future prices. Particularly for open interest, is was found a negative relationship (positive) between the expected series (unexpected) and volatility, and the impact of unexpected series was superior in magnitude comparing to the expected series. For the traded volume, in general, there was evidence of a positive effect of trading volume (both expected and unexpected) on the volatility, and the expected series showed greater impact than the series unexpected. As for the informational content of the participants, considering the model that explains the daily volatility, is was found evidence that demand shocks non-financial corporation contributed to the increase in variation of live cattle futures prices. For the arabica coffee contract, the model suggests that demand shocks of individual influences positively the volatility. For the corn contract, demand shocks of all categories of participants, with the exception of non-financial corporation, apparently act in order to increase the volatility of future prices. Thus, the separation of the unexpected net position and the evaluation of the positive impact of demand shocks on volatility suggest that such investors are not informed. In examining the intraday volatility, the results obtained are mostly similar to those found in the model which analyzes the daily volatility. The quantile regression permitted the complete mapping of the impacts of the variables analyzed, showing that there are significant differences regarding the influence of the variables in the different quantiles of the conditional distribution of volatility, intraday as much daily.

The double-mean-reverting model by Gatheral is motivated by empirical dynamics of the variance of the stock price. No closed-form solution for European option exists in the above model. We study the behaviour of the implied volatility with respect to the logarithmic strike price and maturity near expiry and at-the-money. Using the method by Pagliarani and Pascucci, we calculate explicitly the first few terms of the asymptotic expansion of the implied volatility within a parabolic region.

This thesis aims at analyzing the impact of water on economic growth and economic development. We explore different topics that are directly linked to the availability of water, which directly influence economic growth and development. The thesis consists of four studies. The first study models the effect of water utilization and water pollution on economic growth. The second study is based upon reflections on the fixed effects model and makes the distinction between the impact of the mean of a variable X and deviations from that mean on another variable Y. To date it has tended to be assumed that these impacts are the same; we argue that this is not always the case that countries can to an extent adjust to a specific water environment. However having adjusted they face problems when the water environment deviates from the mean. In the third study we explore the effect of different socio economic factors such as labour productivity, agricultural inputs, population density, water resources per land, and variables such as the trade regime, on water withdrawal for the agricultural and non-agricultural sectors. A specific focus is on the interactions between these two sectors. This study is new in its content and its theme of the work. We argue that many global trends will put increasing pressures on agricultural and non-agricultural water use. But there is also potential for increased efficiency in this use. The fourth study tries to fill the gap in the literature that deals with development aid for water and sanitation. We explore the impact of aid and aid volatility on safe access to water and sanitation, using a newly available OECD/DAC data base. Specifically, we analyse both the recipient countries and the donors to determine the role of aid in affecting safe access to water and sanitation.