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Parametric estimation of GARCH model using MATLAB
Dúbravský, Martin ; Tran, Van Quang (advisor) ; Fučík, Vojtěch (referee)
Timely invariant variance is known not to be stylized fact of financial returns data. Motive of this bachelor thesis is to study financial data's typical variability of variance. In theoretical part, assumtions of GARCH models and its extensions, are summarized. GARCH family models' parameters are estimated, using maximum likelihood are estimated in empirical part. These models are estimated and evaluated across five assets, in which stock indicies DAX and SAP 500, FX major EURUSD and commodities natural gas and gold, are represented. In order to make assumptions about robabilistic distribution of data more realistic, not only Gaussian distribution, but also more leptokurtic Student's t-distribution is assumed to be present in data. Estimations are executed using software package MATLAB and EViews environment. For each asset, the best one of estimated GARCH models will be selected. Results suggest, that assumption of leptokurtic distribution generates models that describe volatility of studied assets better. Regarding testing for assymetric effects in volatility and estimation of EGARCH models, leverage effect of financial returns is shown to be present in returns of studied assets.
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Distribution of USSR public debt after dissolution of USSR in 1991
Kavka, Oleksandra ; Pavel, Jan (advisor) ; Vítek, Leoš (referee)
This bachelor thesis deals with distribution of USSR public debt after dissolution of USSR in 1991. Thesis goal is to provide complex research of creation and rising of the public debt of USSR until its dissolution. It determines problems, which newly established states encountered during distribution of assets and liabilities of the former USSR. It also in detail describes agreements and proposed variations for the debt distribution and explains the chosen method.
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Transformations of Companies - Division of a Company
Tabone, Jana ; Svobodová, Ivana (advisor) ; Krause, Josef (referee)
The attached diploma thesis explains the transformations of companies. It shows the development of transformations in the Czech Republic and also explains the different types of transformations with emphasis on divisions. In the theoretical part it also states most common reasons for transformaitons. The practical part takes the reader through a division of the company XY. It shows all the steps that are required not only by law but also for practical reasons. The division is evaluated.
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