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Realized Jump GARCH model: Can decomposition of volatility improve its forecasting?
Poláček, Jiří ; Baruník, Jozef (advisor) ; Pertold-Gebicka, Barbara (referee)
The present thesis focuses on exploration of the applicability of realized measures in volatility modeling and forecasting. We provide a first comprehensive study of jump variation impact on future volatility of Central and Eastern European stock markets. As a main workhorse, the recently proposed Realized Jump GARCH model, which enables a study of the impact of jump variation on future volatility forecasts, is used. In addition, we estimate Realized GARCH and heterogeneous autoregressive (HAR) models using one-minute and five-minute high frequency data. We find that jumps are important for future volatility, but only to a limited extent due to the high level of information aggregation within the stock market index. Moreover, Realized (Jump) GARCH models outperform the standard GARCH model in terms of data fit and forecasting performance. Comparison of forecasts with HAR models reveals that Realized (Jump) GARCH models capture higher portion of volatility variation. Eventually, Realized Jump GARCH compared to other Realized GARCH models provides comparable or even better forecasting performance.
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Realized Jump GARCH model: Can decomposition of volatility improve its forecasting?
Poláček, Jiří ; Baruník, Jozef (advisor) ; Pertold-Gebicka, Barbara (referee)
The present thesis focuses on exploration of the applicability of realized measures in volatility modeling and forecasting. We provide a first comprehensive study of jump variation impact on future volatility of Central and Eastern European stock markets. As a main workhorse, the recently proposed Realized Jump GARCH model, which enables a study of the impact of jump variation on future volatility forecasts, is used. In addition, we estimate Realized GARCH and heterogeneous autoregressive (HAR) models using one-minute and five-minute high frequency data. We find that jumps are important for future volatility, but only to a limited extent due to the high level of information aggregation within the stock market index. Moreover, Realized (Jump) GARCH models outperform the standard GARCH model in terms of data fit and forecasting performance. Comparison of forecasts with HAR models reveals that Realized (Jump) GARCH models capture higher portion of volatility variation. Eventually, Realized Jump GARCH compared to other Realized GARCH models provides comparable or even better forecasting performance.
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Baumol's cost Disease in Czech Regional Opera Theatres
Poláček, Jiří ; Šťastná, Lenka (advisor) ; Martišková, Monika (referee)
This thesis examines the existence of Baumol's cost disease in Czech regional opera theatres. The study is divided into a theoretical and an empirical section. The theoretical section deals with Baumol's concept of cost disease and its impacts on a theatre, externalities arising from a theatre's operations, public subsidies, demand for arts and ticket prices and their impact on the theatre's income. The empirical section analyzes the existence and scope of the cost disease in selected theatres (Divadlo J. K. Tyla in Pilsen, Severočeské divadlo in Usti nad Labem, and Jihočeské divadlo in Ceske Budejovice). The examination has revealed the presence of the cost disease in all the theatres; however, the scope and the impact of the cost disease differ significantly from theatre to theatre. On the basis of these findings, the study concludes that theatres may counteract the cost disease by offering an attractive theatrical product, which allows for a continuous increase in revenues from ticket sales.
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Marketing and communication strategy of Viola theatre
Poláček, Jiří ; Postler, Milan (advisor) ; Vysekalová, Jitka (referee)
The main goal of the following diploma thesis is to analyse the marketing and communication strategy of Viola theatre and to suggest its future improvements. The thesis itself contains eight chapters, divided into theoretical and practical parts. First four theoretical chapters are devoted to marketing, marketing mix, situation analysis and marketing and commercial communications and strategies. Following chapters create the practical part of the thesis and contain information about Viola theatre, analysis of its marketing mix, evaluation of recent marketing and communication strategy and interpretation of field research results. Based on these analyses, the last chapter brings suggestions and recommendations for improvements in future marketing and communication strategy of Viola theatre.
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The development of the greek economy since the euro adoption until the present
Poláček, Jiří ; Černá, Iveta (advisor) ; Čajka, Radek (referee)
The aim of this bachelor's thesis is to evaluate the situation and the development of the Greek economy during the period 2001 to 2011 and to demonstrate that an economic development, such as Greece's during this time, should not have been repeated by any country using a market economy. The thesis is divided into four parts. The first chapter covers theory and methodology, while the following chapters contain the EMU entry, organizing of the Olympic Games, the global economic crisis and also reform steps along with EU and IMF financial rescue package. The conclusion gives a prediction of the potential future development. A more realistic view on the situation is drawn from statistical data.
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