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Multivariate GARCH
Maďar, Milan ; Hurt, Jan (advisor) ; Branda, Martin (referee) ; Mazurová, Lucie (referee)
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence of integration of stock markets in Frankfurt, Amsterdam, Prague and the U.S. Therefore we will utilize the multivariate GARCH approach that investigates the dynamics of volatility transmission of related foreign exchange rates. Also, we will define three basic model classes. For each of the model classes a theoret- ical review, basic properties and estimation procedure with proofs are provided. We illustrate each approach by applying the models to daily market data. The two main aims of the thesis are to discuss and report the existence of regional and global stock markets linkages and provide a comparison of such multivariate GARCH models on the data sample. The main contribution of the thesis is that it treats the data in the context of real development in financial markets and takes into account the real situation during and after the financial crisis of 2008. We find out that the estimated time-varying conditional correlations indicate limited integration among the markets, which implies that investors can benefit from the risk reduction by investing in the different stock markets, especially during the crisis....
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Multivariate GARCH
Maďar, Milan ; Branda, Martin (referee) ; Mazurová, Lucie (referee)
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence the integrated markets consist of stock markets in Frankfurt, Amsterdam, Prague the U.S. Therefore we will utilize the multivariate GARCH approach that investigates into the dynamics of volatility transmission of related foreign exchange rates. Also, we will define three basic model classes. For each of the model classes a theoretical review, basic properties and estimation procedure with proofs are provided. We illustrate approach by applying the models to daily market data. Our two main aims are discussing and reporting the existence of regional and global stock markets linkages and provide a comparison of such mul- tivariate GARCH models on the data sample. We find out that the estimated time-varying conditional correlations indicate limited integration among the mar- kets which implies that investors can benefit from the risk reduction by investing in the different stock markets especially during the crisis. Keywords: multivariate GARCH, VECH, BEKK, O-GARCH, GO-GARCH, CCC, DCC
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Multivariate generalized autoregressive conditional heteroscedasticity models
Nováková, Martina ; Pešta, Michal (advisor) ; Maciak, Matúš (referee)
This master thesis deals with extension of the univariate GARCH model to multivari- ate models. We present individual models and deal with methods of their estimation. Then we describe some statistical tests for diagnosting the models. We have programmed in the statistical software R one of them - the Ling-Li test. Afterwards we apply selected models to real data of stock market index S&P 500, stock market index Russell 2000 and stocks of crude oil. For the GO-GARCH model, we compare all available estimation methods and show their differences. Then we compare the results of all models with each other and also with univariate models in terms of estimates of conditional variances, estimates of conditional correlations and also in terms of computational complexity. 1
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Multivariate financial time series models in portfolio optimization
Bureček, Tomáš ; Hendrych, Radek (advisor) ; Prášková, Zuzana (referee)
This master thesis deals with the modeling of multivariate volatility in finan- cial time series. The aim of this work is to describe in detail selected approaches to modeling multivariate financial volatility, including verification of models, and then apply them in an empirical study of asset portfolio optimization. The results are compared with the classical approach of portfolio optimization theory based on unconditional moment estimates. The evaluation was based on four known op- timization problems, namely minimization of variance, Markowitz's model, ma- ximization of the Sharpe ratio and minimization of CVaR. The output portfolios were compared by using four metrics that reflect the returns and risks of the port- folios. The results demonstrated that employing the multivariate volatility models one obtains higher expected returns with less expected risk when comparing with the classical approach. 1
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Multivariate GARCH
Maďar, Milan ; Branda, Martin (referee) ; Mazurová, Lucie (referee)
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence the integrated markets consist of stock markets in Frankfurt, Amsterdam, Prague the U.S. Therefore we will utilize the multivariate GARCH approach that investigates into the dynamics of volatility transmission of related foreign exchange rates. Also, we will define three basic model classes. For each of the model classes a theoretical review, basic properties and estimation procedure with proofs are provided. We illustrate approach by applying the models to daily market data. Our two main aims are discussing and reporting the existence of regional and global stock markets linkages and provide a comparison of such mul- tivariate GARCH models on the data sample. We find out that the estimated time-varying conditional correlations indicate limited integration among the mar- kets which implies that investors can benefit from the risk reduction by investing in the different stock markets especially during the crisis. Keywords: multivariate GARCH, VECH, BEKK, O-GARCH, GO-GARCH, CCC, DCC
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Modelování ve finanční analýze
Maďar, Milan ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
In this thesis we study the regional and global linkages as evidence of markets integration of the stock markets in Frankfurt, Amsterdam, Prague the U.S. and the dynamics of volatility transmission of related foreign exchange rates using multivariate GARCH approach. For each of the model classes, a theoretical review, basic properties and estimation procedure are provided. We illustrate approach by applying the models to daily market data. Our two main aims are discussing and report the existence of regional and global stock markets linkages and provide comparison of such multivariate GARCH models on the data sample. We find out that the estimated time-varying conditional correlations indicate limited integration among the markets which implies that investors can benefit from the risk reduction by investigating in the different stock markets especially during the crisis.
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Multivariate GARCH
Maďar, Milan ; Hurt, Jan (advisor) ; Branda, Martin (referee) ; Mazurová, Lucie (referee)
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence of integration of stock markets in Frankfurt, Amsterdam, Prague and the U.S. Therefore we will utilize the multivariate GARCH approach that investigates the dynamics of volatility transmission of related foreign exchange rates. Also, we will define three basic model classes. For each of the model classes a theoret- ical review, basic properties and estimation procedure with proofs are provided. We illustrate each approach by applying the models to daily market data. The two main aims of the thesis are to discuss and report the existence of regional and global stock markets linkages and provide a comparison of such multivariate GARCH models on the data sample. The main contribution of the thesis is that it treats the data in the context of real development in financial markets and takes into account the real situation during and after the financial crisis of 2008. We find out that the estimated time-varying conditional correlations indicate limited integration among the markets, which implies that investors can benefit from the risk reduction by investing in the different stock markets, especially during the crisis....
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