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Nelineární modelování volatility finančních časových řad / Nonlienar volatility modeling in financial time series

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

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:437917
Date January 2021
CreatorsSychova, Maryna
ContributorsZichová, Jitka, Hlávka, Zdeněk
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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