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Methods of volatility estimation
Hrbek, Filip ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
In this masterthesis I have rewied basic approaches to volatility estimating. These approaches are based on classical and Bayesian statistics. I have applied the volatility models for the purpose of volatility forecasting of a different foreign exchange (EURUSD, GBPUSD and CZKEUR) in the different period (from a second period to a day period). I formulate the models EWMA, GARCH, EGARCH, IGARCH, GJRGARCH, jump diffuison with constant volatility and jump diffusion model with stochastic volatility. I also proposed an MCMC algorithm in order to estimate the Bayesian models. All the models we estimated as univariate models. I compared the models according to Mincer Zarnowitz regression. The most successfull model is the jump diffusion model with a stochastic volatility. On the second place they were the GJR- GARCH model and the jump diffusion model with a constant volatility. But the jump diffusion model with a constat volatilit provided much more overvalued results.The rest of the models were even worse. From the rest the IGARCH model is the best but provided undervalued results. All these findings correspond with R squared coefficient.
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Programming tools for creation expert systems
Hrbek, Filip ; Berka, Petr (advisor) ; Svátek, Vojtěch (referee)
This bachelor thesis is going to explore the supply of programming tools for creation expert system and compare these tools by established criteria. This document is divided into theoretical and practical part. The first one is trying to describe expert system topic including division of programming tools into general programming language, programming language for artificial intelligence and development toolkits for expert system. The reader can imagine general model, which will be compared by practical applications. In the practical part I have written something about established criteria. The study describes programming tools. Information about them I have found in the manuals, tutorials, information from manufacturer, testing these tools. In conclusion I have compared them in tables. I have chosen only few examples of programming tools, because the offer on now day market is too wide.
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