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Linear relation in stock time series
 Nemčíková, Lucia ; Bašta, Milan (advisor) ; Helman, Karel (referee)
The aim of this Bachelor's Thesis is to verify the hypothesis of absence of linear relations between logarithmic returns in the stock time series, determined from the efficient markets hypothesis and the existence of linear relations between the squares of returns. I used regression analysis and conditional heteroskedasticity ARCH test of linear type, to achieve the results. My own analysis proved that even if there is a linear relation between logarithmic returns, the relation is not significant. On the other hand the linear relation between squares of returns is significant with tendency to be strong, what is a necessary condition for the use of a linear model of volatility.
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