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Statistical methods in demographic forecasting
Šimpach, Ondřej ; Langhamrová, Jitka (advisor) ; Arltová, Markéta (referee) ; Palát, Milan (referee)
Dissertation thesis creates a complex and modern scheme for stochastic modeling of demographic processes, which is universally applicable to any population in the world. All calculations are described in detail on the data of the Czech Republic. Throughout the work the attention is drawn to the issues, that every analyst must necessarily take into account in order to obtain correct results. Data comes mostly from the Czech Statistical Office database. However, some data matrices had to be calculated for the purposes of the thesis. Particular demographic processes (mortality, fertility and migration) are modeled using selected modern approaches (ARIMA models, Lee-Carter method) and based on the constructed models these processes are forecasted to the future. Using partially projected results a comprehensive demographic projection of the population of the Czech Republic is created up to the year 2050. However, not on the basis of the current state and expert expectations of the future development, but based on sophistically projected demographic events, which are explained using the trends and main components of their previous development. This demographic projection is created in three scenarios (marked SC1, SC2 and SC3), which are made from selected optimal models, presented in particular sections of the work. One part of the thesis is also the backward retropolation of age-specific number of net migrants by sex in the Czech Republic since 1948. On its basis the analysis and prediction of the migration can be done. The thesis is a synthesis of the projections of demographic processess of mortality, fertility, and migration. Final results are confronted with three scenarios of population projections of the Czech Republic created by the Czech Statistical Office and five scenarios of population projections by Eurostat. The purely statistical approach of demographic forecasting in comparison with deterministic models and expert expectations has its positives and negatives. Therefore, the different results due to various methodological approaches are discussed and compared in the conclusion of the thesis.
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Predikce měnových kurzů
Dror, Marika ; Pánková, Václava (advisor) ; Arltová, Markéta (referee) ; Hančlová, Jana (referee)
The thesis investigates different exchange rate models and their forecasting performance. The work takes previous literature overview and summarize their findings. Despite the significant amount of papers which were done on the topic of exchange rate forecast, basically none of them cannot find an appropriate model which would outperform a forecast of a simple random walk in every horizon or for any currency pair. However, there are some positive findings in specific cases (e.g. for specific pair or for specific time horizon). The study provides up-to-date analysis of four exchange rates (USD/CZK, USD/ILS, USD/GBP and USD/EUR) for the period of time from January 2000 to August 2013 and analyse forecasting performance of seven exchange rate models (uncovered interest rate parity model, purchasing power parity model, monetary model, monetary model with error correction, Taylor rule model, hidden Markov model and ESTAR model). Although, the results are in advantage of Taylor rule model, especially for the exchange rate of USD/CZK, I cannot prove that the forecasting performance is significantly better than the random walk model. Except of the overall analysis, the work suppose instabilities in the time. Stock and Watson (2003) found that the forecast predictability is not stable over time. As a consequence, the econometric model can give us better forecast than random walk process at some period of time, however at other period, the forecasting ability can be worse than random walk. Based on Fluctuation test of Giacomini and Rossi (2010a) every model is analysed how the out-of-sample forecast ability changes over time.
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Selected Unit Root Tests in Time series
Fedorová, Darina ; Arltová, Markéta (advisor) ; Hindls, Richard (referee)
The emphasis of this diploma thesis is placed on the verification of stationarity in time series using the Unit Root Tests and their most common modifications that are introduced in the theoretical part of this paper. Tests mainly by Dickey and Fuller, Phillips and Perron, and KPSS test are introduced as well as their modifications in the form of ERS, Ng and Perron, and Leybourne and McCabe tests. Moreover the HEGY test for testing stationarity in the seasonal Time series and Perron test of structural breaks for Time series with shocks are described. There is also outlined the process of testing multiple Unit Roots. The empirical part of this paper consists of simulations of AR(1) time series generated using the software R, their testing for stationarity by selected Unit Root tests and the comparison of power of these tests. The conclusion includes recommendations which tests and under what conditions are the most suitable for testing Time series for the presence of Unit Root.
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Statistical Analysis of Deaths for Traffic Accidents by Regions of the Czech Republic
Pfefferová, Veronika ; Arltová, Markéta (advisor) ; Löster, Tomáš (referee)
The bachelor thesis deals with the analysis of causes of deaths by regions of the Czech Republic focusing on traffic accidents. The aim of this thesis is to compare the causes of death using the rate of deaths per 100 000 population in one year intervals. With these rates regions can be compared with each other though each region has a different number of inhabitants. Further thesis will focus on forecast of time series, namely the forecast of calculated death rates using exponential smoothing - Brown's exponential smoothing, Brown (double) linear exponential smoothing and Holt's linear exponential smoothing. From these smoothings is chosen exactly that which has the smallest residual sum of squares or RSS for individual rate of deaths in each region and on a selective basis for individual regions is prepared the forecast.
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Modeling and Forecasting Volatility of Financial Time Series of Exchange Rates
Žižka, David ; Arltová, Markéta (advisor) ; Malá, Ivana (referee) ; Vošvrda, Miloslav (referee)
The thesis focuses on modelling and forecasting the exchange rate time series volatility. The basic approach used for the conditional variance modelling are class (G)ARCH models and their variations. Modelling of the conditional mean is based on the use of AR autoregressive models. Due to the breach of one of the basic assumption of the models (normality assumption), an important part of the work is a detailed analysis of unconditional distribution of returns enabling the selection of a suitable distributional assumption of error terms of (G)ARCH models. The use of leptokurtic distribution assumption leads to a major improvement of volatility forecasting compared to normal distribution. In regard to this fact, the often applied GED and the Student's t distributions represent the key-stones of this work. In addition, the less known distributions are applied in the work, e.g. the Johnson's SU and the normal Inverse Gaussian Distribution. To model volatility, a great number of linear and non-linear models have been tested. Linear models are represented by ARCH, GARCH, GARCH in mean, integrated GARCH, fractionally integrated GARCH and HYGARCH. In the event of the presence of the leverage effect, non-linear EGARCH, GJR-GARCH, APARCH and FIEGARCH models are applied. Using suitable models according to the selected criteria, volatility forecasts are made with different long-term and short-term forecasting horizons. Outcomes of traditional approaches using parametric models (G)ARCH are compared with semi-parametric neural networks based concepts that are widely applicable in clustering and also in time series prediction problems. In conclusion, a description is given of the coincident and different properties of the analyzed exchange rate time series. The author further summarized the models that provide the best forecasts of volatility behaviour of the selected time series, including recommendations for their modelling. Such models can be further used to measure market risk rate by the Value at Risk method or in future price estimating where future volatility is inevitable prerequisite for the interval forecasts.
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Marital and non-marital fertility in the Czech Republic
Sirotková, Lucie ; Langhamrová, Jitka (advisor) ; Arltová, Markéta (referee)
The bachelor's thesis focuses on the development of marital and non-marital fertility in the Czech Republic. Its aim is to assess the development over time using available data from the Czech Statistical Office and to mention the possible causes of changes in the demographic behaviour of the Czech population. The theoretical part presents a view of marriage and family in history. The practical part is engaged in the processing and description of real data. It is divided into four parts, the first of them describes the development of marital and non-marital fertility, the second one focuses on the development of differences in the characteristics of marital and non-marital fertility, the following part describes the characteristics associated only with marital fertility and the last part provides information about the development of number of induced abortion per hundred live births depending on the marital status of woman. The thesis is enriched by processing the results of research projects ISSP (1994 and 2002).
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Impacts of the new Civil Code on Life Insurance
Hegar, Štěpán ; Arltová, Markéta (advisor) ; Škvorová, Markéta (referee)
This diploma thesis deals with the impact of the new Civil Code on the Life Insurance in the Czech Republic. Since January 1, 2014, the new Civil Code regulates the existing legislation and in many ways introduces new insurance terms and requirements. The introduction of this legislation will affect the entire insurance market that will provide trends in Life Insurance in the coming years . Since this change will significantly transform the whole negotiation process of Life Insurance policies, several key themes were selected and analyzed which are most relevant to both insurers, policyholders and the insured. The new Civil Code will change the negotiations of Life Insurance contracts and the insurance broker business will be different from what so far has been customary. The insurance brokers will now have to collect the insurable interest during the contract negotiation with the applicant, analyze their needs and schedule records from the meeting. The thesis examines the current state of negotiated Life Insurance risk on the real Life Insurance data. The analysis concludes some recommendations which the insurers could use with regard to the introduced changes.
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The average wage and GDP - relationships and links
Bieliková, Nikol ; Arltová, Markéta (advisor) ; Bašta, Milan (referee)
The thesis describes interactions and relationships between selected economic indicators. These indicators are the gross domestic product and the average gross monthly wage. The analysis of these selected indicators, are made for the Czech Republic and Slovakia. The work has four main parts, which are divided into several other sections. The first defines the concept of national accounting, the second part contents gross domestic product, the method of its calculating and the frequency of compilation. In the third section is described the field theory of wages and salaries and the concepts such as minimum wage, the average gross monthly wage and median wage and salary are defined. In this two chapters are compared selected countries on the basis of the tables and graphs of selected indicators. The last chapter analyzes the relationships between selected economic indicators in selected countries based on quarterly data from the years 2001-2013.
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Unemployment in Czech Republic and EU
Rytíř, Michal ; Arltová, Markéta (advisor) ; Helman, Karel (referee)
Unemployment is a common phenomenon in economy. The unemployment rate is an indicator reflecting the economic situation significantly. Unemployment is followed by the public intensively and that is why it is an important political topic. To fight unemployment it is necessary to analyze its current state, development and estimated future prospects. This thesis is focused on analysis of the state and development of unemployment in the Czech Republic and EU. Its future development is estimated using the Box-Jenkins method.
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The forecast of attendance in Choceň up until the year 2015 through the time series
Leová, Monika ; Arltová, Markéta (advisor) ; Langhamrová, Jana (referee)
This thesis focuses on the analysis of the demographic development and student attendance at kindergartens and primary schools in Choceň. The main objective is to forecast the number of students enrolling in the first year program's up until the year 2015. Predicted numbers are then compared with the current capacities at these school institutes and, in conclusion, the appropriate solutions are suggested. Sample procedure and generated forecast can be useful to Choceň Council to prevent the problems with insufficient capacity at kindergartens and primary schools.
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