Translated title: Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets
Authors: Marković, Jelena ; Pečená, Magda (advisor) ; Adam, Tomáš (referee)
Document type: Master’s theses
Year: 2015
Language: eng
Abstract: [eng] [cze]
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. MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstrakt Tato diplomova prace odhaduje nestálost akciového trhu v Srbsku, České republice a USA. Několik studií analyzoválo propojení těchto tří trhů. Hlavní rovnici je odhadnout používání vector autoregression model. Za druhé jde o další odhad používání různých s množstvím proměněnných GARCH modelů. Tuto běznou podmíněnou nestálost nacházíme na každém trhu, kde je vysoce ovlivněn posledními nejnovějšími inovacemi. Cross-market je také důležitou korelací. Nicméně, je zde vyšší podmíněnost korelace mezi českým akciovým trhem a americkým porovnaný indexy podmíněné korelaci mezi srbskými a americkými tržními indexy.
Keywords: Conditional Covariance; Conditional Variance; Market Volatility; Risk Modeling; Conditional Covariance; Conditional Variance; Market Volatility; Risk Modeling

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/77693

Permalink: http://www.nusl.cz/ntk/nusl-347211


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses