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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Financial time series models and their software implementation
 Kostárová, Aneta ; Zichová, Jitka (advisor) ; Hudecová, Šárka (referee)
This thesis deals with financial time series models and their implementation in soft- ware products. The theoretical part of the thesis includes a description of the volatility models ARCH, GARCH, IGARCH, ARCH-M, GARCH-M, EGARCH and GJR-GARCH and their basic properties. The practical part examines and describes the implementation of the volatility models in the software products Mathematica, EViews and R. Tutorials on the use of each function are included, along with descriptions of the software inputs and outputs in the form of illustrative examples on simulated data and their application to real data. 1
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Parameter estimating in time series models
 Kostárová, Aneta ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
This bachelor thesis deals with some methods of parameter estimating in linear time series models. The most used approach in software products is the maximum likelihood estimation. The theoretical part explains the parameter estimation of the ARMA model by conditional and unconditional maximum likelihood estimation and demonstrates both methods for lower order models. The practical part examines and describes the imple- mentation of parameter estimating in Mathematica and R software. The comparison of the quality of the estimates calculated by various procedures of the chosen software is included. Finally, the acquired findings is used in a simulation study. 1
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