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Forecasting with neural network during covid-19 crisis
Luu Danh, Tiep ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
The thesis concerns the topic of forecasting using Neural Networks, particu- larly the return and volatility forecasting in the volatile period of Covid-19. The thesis uses adjusted close daily data from Jan 1, 2000, until Jan 1, 2021, of the S&P index and Prague Exchange Stock index (PX). The comparison was between the vanilla econometrical model, a neural network model, and a hybrid neural network model. Hybrid neural networks were constructed with an additional feature column of the fitted econometrical model. Additionally to comparing the prediction, a risk-return trade-o analysis of the forecasted series was conducted. The test period for all models was from Jan 1, 2020, until Jan 1, 2021, where predictions were made. During the test period, MSE be- tween predicted and true values was extracted and compared. The results are that the hybrid model outperformed both econometrical as well as only neural networks models. Furthermore, the risk-return trade-o forecast provided by the hybrid model fares better than the other ones. JEL Classification C53, C81 Keywords Financial Time Series, Forecasting, Neural Net- works, ARIMA, GARCH Title Forecasting with Neural Network during Covid- 19 Crisis Author's e-mail tiep.luud@gmail.com Supervisor's e-mail barunik@fsv.cuni.cz
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Smoking ban: A data analysis of sales
Luu Danh, Tiep ; Polák, Petr (advisor) ; Smutná, Šarlota (referee)
1 Abstract Smoking ban and VAT Fiscalization are the two most recent acts that were causing a nuisance for hospitality industry. In this thesis, the effect of the smoking ban on the restaurant sales is analyzed. The analysis research, whether sales were significantly affected based on monthly Czech Statistical Office time series and on daily VAT Fiscalization time series. That way, not only the smoking ban is inspected, but also the potential benefit of VAT Fiscalization as a data sampling tool for policy evaluation is taken into the question. JEL Classification C54, C81 Keywords Smoking ban, Sales, VAT fiscalization, Czech Statistical office, Time Series Analysis Title Smoking ban: A data analysis of sales Author's e-mail tiep.luud@gmail.com Supervisor's e-mail polakpet@gmail.com Abstrakt Zákon o ochraně před návykovými látky, ve kterém je také obsažen zákaz kouření v restauracích a barech, a zákon o elektronické evidenci tržeb jsou dva nejnovější zákony, které způsobují dle slov podnikatelů nemalé komplikace v pohostinství. V této tezi se budeme zabývat, zda zákaz kouření ovlivňuje signifikantně tržby pohostinských zařízení na základě měsíční časové řady z Českého statistického úřadu a na denní časové řady shromážděné EET sys- témem. Tím nejen prozkoumáme zákaz kouření, ale také zjistíme, zda by se EET...
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