In this work we want to examine selected models with nonlinear volatility and their properties. At the beginning we define models with non-constant variance, especially ARCH, GARCH and EGARCH models. Then we study the probability distributions that are mainly used in the EGARCH model. Then we focus on the EGARCH model, describe the conditions for stationarity and invertibility of the model, define diagnostic tests and QMLE estimates of parameters. In the last chapter we perform simulation studies of the selected models and their application to real data. 1
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:437917 |
| Date | January 2021 |
| Creators | Sychova, Maryna |
| Contributors | Zichová, Jitka, Hlávka, Zdeněk |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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