Název:
Vybrané přístupy pro zpracování mnohorozměrných časových řad ve financích
Překlad názvu:
Selected topics of multivariate time series analysis in finance
Autoři:
Slívová, Iveta ; Zichová, Jitka (vedoucí práce) ; Cipra, Tomáš (oponent) Typ dokumentu: Diplomové práce
Rok:
2009
Jazyk:
cze
Abstrakt: In the present work, we study ARMA model at the beginning, then we write about one-dimensional and multivariate ARCH and GARCH model, further we move on to the multivariate GARCH model. At the end, the principal component decomposition is introduced, it is a procedure to reduce the number of parameters involved in a multivariate GARCH model. The theory is explicated rst on a basic ARMA model, afterwards it is modi ed step by step for the one-dimensional and the multivariate GARCH model. There are solved examples for multivariate ARCH and GARCH model and nancial data are analyzed by means of these models.