The aim of this master thesis is to introduce models belonging to ARCH(∞) representation where a time series volatility is modelled as a linear function of squared residuals. Specifically, the thesis deals with models IGARCH, FIGARCH and HYGARCH that are used to analyse, model and predict a development of financial time series. Definition and graphical illustration of individual models together with their application on real data, is supplemented by a simulation study of first-order FIGARCH model.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:437938 |
| Date | January 2021 |
| Creators | Kollárová, Dominika |
| Contributors | Zichová, Jitka, Hendrych, Radek |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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