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Value-at-risk forecasting with the ARMA-GARCH family of models during the recent financial crisis
Jánský, Ivo ; Rippel, Milan (advisor) ; Seidler, Jakub (referee)
The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting ac- curacy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index sepa- rately. Unlike other works in this eld of study, the thesis does not assume the log-returns to be normally distributed and does not explicitly select a partic- ular conditional volatility process. Moreover, the thesis takes advantage of a less known conditional coverage framework for the measurement of forecasting accuracy.
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An investigation of the long-run relationship between capital market indices and macroeconomics variables in Zimbabwe
Mandigo, Naison
The hash economic conditions in Zimbabwe, marred with perpetual cash cri- sis, little to no foreign direct investments (FDI's), high unemployment rates, absence of the Central Bank roles and local currency has piqued my interests to study the long-run relationship of capital market indices and macroeco- nomic variables, in such conditions. The literature review analysed dierent research work that were done in health economics about the same subject but with dierent variable matrix structure and methods. Most of the stud- ies conrmed the short/ long-run relationship between capital market indices and macroeconomic variables. An ARDL method was employed on the subject matter, and interesting re- sults were obtained that are at variance with most of the existing empirical results in the literature. For example, most of the studies conrmed a signi- cant relationship between the exchange rate, interest rate and stock index but this research showed otherwise. Moreover, this work lled the existing gap in the literature on the relationship between the mining index and macroeco- nomics variables. Furthermore, it has been noted that consumer price index and exchange rates have a negative long-run relationship with the mining index. A way for further research of this nature in countries with the same or similar economic conditions as of Zimbabwe has been set in motion and needed for an abstract conclusions on the variations noted by this work.
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Ekonometrické modelovanie výkonu fondov
Tuchyňová, Barbora
In this diploma thesis we gather information on European mutual funds and ETFs that would help to inform the decision of an investment manager. We cre-ated OLS models for three types of mutual funds - money market, bond and equity – to demonstrate a relationship between funds' volatility and their annualised return. We then utilised VAR models to test Granger causation between an ETF and its tracking index using their net asset value.
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Vzťah medzi akciovým indexom a menovým kurzom v ČR
Petko, Marko
This diploma thesis focuses on the relationship between stock index and exchange rate in the Czech republic. The theoretical part describes Prague stock index, exchange rate and its regimes, as well as theoretical knowledge and practical studies of this relationship by another authors. In practical part of diploma thesis, relationship between exchange rate and stock index is tested with Granger causality. At the end of this paper, results of this diploma thesis are compared with results of authors, who focused on same topic.
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Value-at-risk forecasting with the ARMA-GARCH family of models during the recent financial crisis
Jánský, Ivo ; Rippel, Milan (advisor) ; Seidler, Jakub (referee)
The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting accuracy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index separately. Unlike other works in this field of study, the thesis does not assume the log-returns to be normally distributed and does not explicitly select a particular conditional volatility process. Moreover, the thesis takes advantage of a less known conditional coverage framework for the measurement of forecasting accuracy.
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Value-at-risk forecasting with the ARMA-GARCH family of models during the recent financial crisis
Jánský, Ivo ; Rippel, Milan (advisor) ; Seidler, Jakub (referee)
The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting ac- curacy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index sepa- rately. Unlike other works in this eld of study, the thesis does not assume the log-returns to be normally distributed and does not explicitly select a partic- ular conditional volatility process. Moreover, the thesis takes advantage of a less known conditional coverage framework for the measurement of forecasting accuracy.
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Testing the efficiency of capital markets in European economies
Burianec, Dominik ; Pošta, Vít (advisor) ; Gawthorpe, Kateřina (referee)
This master´s thesis deals with testing the efficiency of capital markets. The subject to verification of the stock markets of Austria, Hungary, Germany, Great Britain, Czech Republic and Poland during the 2006-2016Q1. The aim of this work is to test the weak formo f efficiency in these markets. The hypothesis was tested using the ACF test ADF and KPSS tests, variance ratio test, run test and test of January effect.
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Odhad potenciálneho produktu a produkčnej medzery v Českej republike a na Slovensku
Kolárik, Peter
This thesis has two goals. The first goal is to estimate potential output and output gap in the Czech Republic and the Slovak Republic by using Hodrick-Prescott filter. The second goal deals with dependence of stock markets, repre-sented by stock indices, and real output, represented by Gross Domestic Product in the Czech Republic and the Slovak Republic by using correlation analysis and Granger causality test.
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Možnosti předpovědi finanční krize
Salvetová, Veronika
This bachelor thesis examines methods for prediction of financial crisis. Using the statistical program Statistica 12, selected statistical predictive instruments are evaluated in their ability to predict along one dimensional time series the structural break related to the emergence of the financial crisis that developed in the years 2007-2008. The quality of the predictive models is evaluated using selected statistical criteria. The results show that contemporary predictive mathematical methods are not very good tools for prediction of crises. This is the basis for further discussion. On the basis of this information, this text offers suggestion for improving predictive instruments and better prevention of crises.
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