Home > Search Results: keywords:"arch"
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 93 records found  beginprevious92 - 93  jump to record: Search took 0.01 seconds. 
The spline GARCH model for unconditional volatility and its global macroeconomic causes
 Engle, Robert F. ; Rangel, Jose Gonzalo
This paper proposes modeling equity volatilities as a combination of macroeconomic effects and time series dynamics. High frequency return volatility is specified to be the product of a slow moving deterministic component, represented by an exponential spline, and a unit GARCH. This deterministic component is the unconditional volatility, which is then estimated for nearly 50 countries over various sample periods of daily data.
Fulltext: Download fulltextPDF
Detailed record
Models of inflation and its volatility in CZ
 Bisová, Sára ; Hušek, Roman (advisor) ; Pelikán, Jan (referee)
This paper focuses on analysing and modelling inflation and its dynamics in Czech Republic applying a special kind of econometric models. Firstly economic theory of inflation is mentioned - fundamental terms, measuring methods of inflation, the way Czech national bank is monitoring the inflation and obviously a short summary of historical evolution of inflation in Czech economy. In the second part of this paper two econometric concepts of modelling time series are introduced - vector autoregression models (VAR models) and volatility models, concretely ARCH and GARCH models. In connection with the VAR models, Granger causality, impulse response functions, cointegration and error correction models are described. The empirical part includes application of selected models on real time series of chosen macroeconomic indicators. The estimation outputs are interpreted and forecasts are implemented. The quality of chosen econometric models for modelling inflation in Czech Republic is discussed.
Detailed record

National Repository of Grey Literature : 93 records found   beginprevious92 - 93  jump to record:
Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English