Original title: Mnohorozměrné modely volatility
Translated title: Multivariate volatility models
Authors: Šimjáková, Dominika ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
Document type: Master’s theses
Year: 2009
Language: slo
Abstract: The subject of the thesis is the analysis of univariate and multivariate time series. The GARCH models as well as the the simpli cated ARCH models are described in detail. In the practical part of the master thesis are elaborated some time series of exchange rates. The aim of this work is to nd an appropriate model which would reliably aproximate the development of the series. The exchange rates time series were analyzed by the software XploRe and Eviews. The data and programme source code are enclosed on a CD.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27661

Permalink: http://www.nusl.cz/ntk/nusl-485886


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses