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Analysis of unemployment development in Slovakia and impact of labour market policies
Tesárová, Viktória ; Rippel, Milan (advisor) ; Půlpán, Karel (referee)
This bachelor thesis concerns unemployment in Slovak Republic and impact of welfare reform approved by second Mikuláš Dzurinda government on its development, with focus on active and passive labour market policies. It explores character and structure of slovak unemployment and impact of adopted reforms on changes in development of rate of unployment registered and rate of unemployment from Labour Force Survey. Via theoretical data analysis of labour market and state expenditures acquired from statistical institutions and its comparison before and after reforms is this thesis trying to define this impact and determine its extent. Functioning of new welfare system is also based on international data comparision.
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Value at Risk: GARCH vs. Stochatistic Volatility Models: Empirical Study
Tesárová, Viktória ; Gapko, Petr (advisor) ; Seidler, Jakub (referee)
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t distributed errors and its empirical forecasting per- formance of Value at Risk on five stock price indices: S&P, NASDAQ Com- posite, CAC, DAX and FTSE. It introduces in details the problem of SV models Maximum Likelihood examinations and suggests the newly devel- oped approach of Efficient Importance Sampling (EIS). EIS is a procedure that provides an accurate Monte Carlo evaluation of likelihood function which depends upon high-dimensional numerical integrals. Comparison analysis is divided into in-sample and out-of-sample forecast- ing performance and evaluated using standard statistical probability back- testig methods as conditional and unconditional coverage. Based on empirical analysis thesis shows that SV models can perform at least as good as GARCH models if not superior in forecasting volatility and parametric VaR. 1
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Value at Risk: GARCH vs. Stochastic Volatility Models: Empirical Study
Tesárová, Viktória ; Gapko, Petr (advisor) ; Seidler, Jakub (referee)
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t distributed errors and its empirical forecasting per- formance of Value at Risk on five stock price indices: S&P, NASDAQ Com- posite, CAC, DAX and FTSE. It introduces in details the problem of SV models Maximum Likelihood examinations and suggests the newly devel- oped approach of Efficient Importance Sampling (EIS). EIS is a procedure that provides an accurate Monte Carlo evaluation of likelihood function which depends upon high-dimensional numerical integrals. Comparison analysis is divided into in-sample and out-of-sample forecast- ing performance and evaluated using standard statistical probability back- testig methods as conditional and unconditional coverage. Based on empirical analysis thesis shows that SV models can perform at least as good as GARCH models if not superior in forecasting volatility and parametric VaR. 1
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Analysis of unemployment development in Slovakia and impact of labour market policies
Tesárová, Viktória ; Rippel, Milan (advisor) ; Půlpán, Karel (referee)
This bachelor thesis concerns unemployment in Slovak Republic and impact of welfare reform approved by second Mikuláš Dzurinda government on its development, with focus on active and passive labour market policies. It explores character and structure of slovak unemployment and impact of adopted reforms on changes in development of rate of unployment registered and rate of unemployment from Labour Force Survey. Via theoretical data analysis of labour market and state expenditures acquired from statistical institutions and its comparison before and after reforms is this thesis trying to define this impact and determine its extent. Functioning of new welfare system is also based on international data comparision.
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