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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Linear volatility modeling in financial time series
 Kollárová, Dominika ; Zichová, Jitka (advisor) ; Hendrych, Radek (referee)
The aim of this master thesis is to introduce models belonging to ARCH(∞) representation where a time series volatility is modelled as a linear function of squared residuals. Specifically, the thesis deals with models IGARCH, FIGARCH and HYGARCH that are used to analyse, model and predict a development of financial time series. Definition and graphical illustration of individual models together with their application on real data, is supplemented by a simulation study of first-order FIGARCH model.
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Parametric Nonlinearity Testing in Time Series
 Kollárová, Dominika ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
The aim of this bachelor thesis is the theoretical description of the functioning of two parametric nonlinearity tests - the RESET test and Keenan's test and theirs application on financial time series with the summary of achieved results. During the testing we assume, that a time series follows a predetermined linear AR(p) model the order of which is identified by the partial autocorrelation function or the AIC criterion.
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