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Backtesting of Time Series Models
Stroukalová, Marika ; Houfková, Lucia (advisor) ; Zichová, Jitka (referee)
Title: Backtesting of Time Series Models Author: Marika Stroukalová Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Lucia Jarešová Supervisor's e-mail address: lucia.jaresova@centrum.cz Abstract: In the present work we study the basic models of financial time series (ARMA, GARCH), we focus on parameter estimation and forecasting in estimated models. We describe the means of estimating parametres and future values in the program R. In the theoretical section we also discuss the features of financial time series, define simple returns and log returns and we introduce the benefits of the log returns. We also apply the white noise model, ARMA(1,1) and GARCH(1,1) on historic time series of logarithmic returns of chosen stock exchange indices, we also backtest 1-step ahead fore- cats and 5-step ahead forecasts and we compare the results of these models. By empirical comparison of real data we also analyze how the models reac- ted on the present financial crisis and evaluate how the normal distribution assumption for the data held up. Keywords: time series, ARMA, GARCH, backtesting. 1
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The valuation of company PKS MONT, a.s.
Strnad, Jakub ; Scholleová, Hana (advisor) ; Neubauer, Edmund (referee)
The subject of establishing the market value is PKS MONT stock company specializing in the production of windows and doors made of plastic, wood and aluminum. It is a company founded in 1996 as a member of PKS holding companies which are targeting mainly on building sector. The mentioned company realized an important investment in modernization of production facilities in 2009. Size of the investment exceeded CZK 120 mil., more than 90 % total assets of the previous year. The market in which the company operates is undergoing a crisis due to the economy decrease. This situation has a negative impact on the indebted company. The main impact of decline in demand is expected in 2011, first year of financial plan. The financial plan is built on the current corporate financial policy and in many cases modified in response to predicted market developments with covering company possibilities to find permanent use in the increasing competition. The main purpose of the thesis is determination the company market value based on discounted free cash flows from business activities. Predicted free cash flows affected decline in demand in 2011 and necessity of permanent investments in modernization of production facilities in order to maintain technical and technological progress with competition and with the market. The financial plan forecast can help management to focus on possible scenario of future development and adapt it their next steps. Each project is based on assumptions and level of risk, which can act positively or negatively on the assumptions set. Therefore, the conclusion is devoted to risk analysis tests changes in result depending on probability distribution all analyzed assumptions.
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The emergency response organization of NPP Temelín operator
KOŠŤÁL, Jaroslav
This work deals with Organization of Emergency Response in NPP. According assignment this work summarizes its legal preconditions and consequently gives description of its practical realization. The necessary terminology is gathered and the basic overview of OER functioning is given. An attention is paid to staffing, structure and number of workplaces, the used documentation and also to the system of its readiness and functionality verification. The intent is to define the essential aspects of nuclear safety and to describe system of emergency planning and response in condition of real nuclear facility. In the second part of work a comparison of Stress Tests of EDU and ETE NPPs in the reason to evaluate how the goals of Emergency Response are met. The comparison of Stress Tests results is done in shape of tables. My interpretation of the established facts is: 1.The probability of earthquake exceeding the design resistant of structures, technological systems and structures is practically insignificant. The results are for both locations virtually identical. The project robustness of ETE NPP to earthquakes is slightly higher than EDU. 2.The flooding robustness of both our NPP sites is high. Both NPPs are due to its location very resistant to rain water flooding. To ensure a high level of resistance to rain water flooding requires regular maintenance of drainage systems. 3.EDU and ETE NPPs are resistant to earthquakes and in this way they are resistant to the extreme weather condition especially to the gusty wind too. 4.Secured power internal consumption supply systems on EDU and ETE NPPs are projected according to analogical basics and are enough robust to failure from common cause. To secure safe down-cooling of reactor unit the only one independent power supply system is sufficient. In project of ETE NPP there is in comparison with EDU NPP the next system of common independent power consumption supply. It is primarily intended to prevent damages in technology of secondary circle. Two DGs strongly improve the resistance of unit to SBO accident. 5.Heat removal from separate technological systems is on both power stations realized by using of analogical cooling system. Constructional differences in projects of our power stations are given by different time of their project works. There is a possibility that cooling systems of EDU NPP will be improved. 6.System of severe accident management is organized in the similar way at both facilities. The staff of Accident Board and Technical Support Centre is analogical. Recently the staff of TSC was reinforced to improve its ability to cope the multiply accident on several units. The documentation for solving of abnormal states, accidents and severe accidents has got the same basic structure. Procedures and guidelines are continually improved. Attention is paid to verification and validation of these procedures. 7.On the basis of performed Stress Tests there is a high possibility of gradual realization of partial administrative, personal and technological improvements that will be done in reason to improve Nuclear Safety and Organization of Emergency Response. The specific measures are summarized in the National Action Plan. An absolute elimination of an accident is impossible, but the probability of an accident with fuel degradation must be as low as it is reasonably possible to achieve. The NPP must be able to diminish the impacts of such event to the generally acceptable low. The ability to manage such events is the major goal of Emergency Response that should be taken as a sophisticated interdisciplinary system.
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Development of financial markets in Russia
Zhiganov, Artem ; Taušer, Josef (advisor) ; Černá, Iveta (referee)
The aim of the diploma is to introduce provide information about financial system of Russia. It includes a description and classification of Russian financial markets, development of the whole system and describe a current financial position during the crisis. Diploma also includes Regulation and Supervision part, which is relatively important due to a present situation in the financial world. In terms of practical part basing on technical and fundamental analyses the author tends to forecast the probable future trend of development of the Russian Trade System RTS. The diploma is made for a wide range of prospective readers, who even might not be interested in Finance.
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Can Bayesian econometric methods outperform traditional econometrics in inflation forecasting?
Stráský, Josef ; Baxa, Jaromír (advisor) ; Netuka, Martin (referee)
Forecasting of inflation has become crucial for both policy makers and private agents who try to understand and react to Central Bank decisions because many Central Banks implemented inflation targeting rules instead of control of monetary aggregates. Inflation forecasting is considered to be very complicated issue because univariate regression models and structural macroeconomic models are usually outperformed by naive random walk model. This work is intended for forecasting inflation in the Czech Republic by employing Bayesian econometric method (namely Bayesian vector autoregression - BVAR). Bayesian methods proved to be useful in inflation forecasting in developed countries (Fabio Canova: G-7 Inflation Forecasts: Random Walk, Phillips Curve or What Else?, 2007). Bayesian econometrics is one of the fast developing fields of econometrics for past two decades. In the centre of the approach is Bayesian probabilistic theory based on conditional probabilities. This probabilistic approach is, however, computationally demanding. Fast computer evolution enables wide applications of Bayesian models. Model estimations are based on combining information from some prior beliefs and from the data. Many different sorts of models have their Bayesian variants (e.g. OLS) but the emphasis in this work is on Bayesian...
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Political Business Cycle and Public Procurements in Prague
Drzková, Petra ; Pavel, Jan (advisor) ; Holubářová, Jana (referee)
The aim of this bachelor thesis is to reveal whether there is a relation between public procurements and the political business cycle in Prague, the capital of the Czech Republic. The examined data cover a period from the year 2005 to 2011. Two hypotheses have been set in order to discover whether there is such a relation. The first one postulates that the public procurements are used on constructions, well visible investments, so as to increase the probability of being re-elected. The second hypothesis marks the effort of politicians to maximize their own benefits till the end of electoral term as the main reason for contracting public procurements. The hypotheses are proved separately for constructions and for supplies and services by the number of public procurements, the total amount of money spent on public procurements in a particular term, by average amount of bids and by the relate of the end and assumed price. The regression analysis was used as a tool of verification. The result is a determination if it is possible to find such a relation dependance of public procurements and political business cycle in Prague and what is assumed to be the main motive.
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Labour Market Modelling within a DSGE Approach
Tonner, Jaromír ; Tvrz, Stanislav ; Vašíček, Osvald
The goal of this paper is to find a suitable way of modelling the main labour market variables in the framework of the CNB’s core DSGE model. The model selection criteria are: the predictive ability for unemployment, the change in the overall predictive ability in comparison to the baseline model and the extent of the required model change. We find that the incorporation of a modified Galí, Smets and Wouters (2011) labour market specification allows us to predict unemployment with an acceptable forecast error. At the same time it leads to a moderate improvement in the overall predictive ability of the model and requires only minor adjustments to the model structure. Thus, it should be preferred to more complicated concepts that yield a similar improvement in predictive ability. We also came to the conclusion that the concept linking unemployment and the GDP gap is promising. However, its practical application would require (additional) improvement in the accuracy of the consumption prediction. As a practical experiment, we compare the inflation pressures arising from nominal wages and the exchange rate in the baseline model and in alternative specifications. The experiment is motivated by the use of the exchange rate as an additional monetary policy instrument by the CNB since November 2013 in an environment of near-zero interest rates and growing disinflationary pressures. We find that the baseline model tends to forecast higher nominal wage growth and lower exchange rate depreciation than the models with more elaborate labour markets. Therefore, the alternative models would probably have identified an even higher need for exchange rate depreciation than the baseline model did.
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Multistate Analysis of Unemployment and Additional Statistical Methods for Modelling of Unemployment
Miskolczi, Martina ; Langhamrová, Jitka (advisor) ; Fiala, Tomáš (referee) ; Kotýnková, Magdalena (referee)
Unemployment modelling covers both view of the labour market such as is, economy and knowledge of mathematics, statistics and, thus, econometrics. The importance of unemployment seems to be even more significant after the period of crisis; high unemployment is not only economic burden bud serious social risk and psychological problem as well. In the dissertation thesis, selected models used for unemployment modelling and -- in some cases for its prediction -- are introduced. To be able to predict the future trend of labour market reliably means to be able to plan tools of active and passive employment policies effectively. Alternatively, it means to search programs and supports that help in reduction of unemployment. Specific applications of models for the Czech labour market involve model of multistate life tables, simultaneous econometric models and Phillips curve. Phillips curve of mutual "trade-off" of unemployment and inflation is confirmed in short periods, in longer and long period of time rather fails, it is not reliable. It is not possible to use it for prediction at all; it would be needed to predict inflation. Analogous characteristics has the Beveridge curve. Simultaneous econometric models for number of economically active persons and for unemployment and inflation de facto fail, even though they demonstrate the range of opportunities including point and interval forecasts. Period of economic crisis when changes in labour market principles occur means usually problem for such the models, which work well in periods of stable growth or decline. More, it is difficult to specify these models correctly with regard to threat of multikolinearity. Multistate models aiming at calculation of multistate life tables, or even multistate projection are extremely demanding for input data. But they enable to understand relations or transitions among states, respectively. It is very beneficial tool for comprehension and policy planning in the area of labour market and social affairs in the process of lowering unemployment. Forecasts in such a type of model are possible but difficult because it is necessary to predict probability of transition among states.
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Development of trade in electricity in the EU
Fučík, Václav ; Němcová, Ingeborg (advisor) ; Vošta, Milan (referee)
The main aim of this thesis is analysis of history, present and future development of cross-border trade in electricity in the EU. A number of instruments is used -- analysis of generation mix, the role of renewables, degree of international interconnection and usage of these routes, institutional organization of the sector and price convergence of national markets. The research's output is the description of past and recent development and a forecast of possible future progress at the national level. The outcome of this thesis enables the reader to fully understand the complexity of EU electricity market and its probable future direction.
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Verification of fenological model of Ips typographus in the Czech Republic
Haramul, Michael ; Boublík, Karel (advisor) ; Holuša, Jaroslav (referee)
During the months of April and June 2014 the spruce bark beetle (Ips typographus L.) capturing was conducted into the pheromone traps followed by the verification of phenological model PHENIPS altogether at two study locations in the Czech Republic: Horní Planá in the southern Bohemia and Lipník nad Bečvou in the Olomouc region. The trapping was performed weekly with the help of pheromone tabular traps Theysohn which were equipped by pheromone-type evaporators Pheroprax from Chemipan. The aim of the study was to verify the validity of phenological model PHENIPS for the spruce bark beetle in the Czech Republic and verify whether the model is applicable for the Czech Republic. At the end of the 2014 season with the help of phenological models PHENIPS and the number of trapped bark beetle specimen the term of swarming and the term of colonization of host trees were determined. The sister generation activity was probably recorded in the several traps.
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