About: Three autoregressive models of exchange rates CZK/USD, CZK/EUR

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In present study we focused on GARCH, TARCH and EGARCH models for analysis of daily exchange rates CZK/USD, CZK/EUR. There were used daily data of financial part of Yahoo http://finance.yahoo.com from 2001 to 2005. The values of three well known criteria for validation of model (Akaike information criterion, Schwarz criterion and Log likelihood) were used. The lowest values were for the TARCH and EGARCH model, so we consider them to be the best. Using this models volatility of logarithmic return was studied and different behavior of CZK/USD and CZK/EUR was detected. In present study we focused on GARCH, TARCH and EGARCH models for analysis of daily exchange rates CZK/USD, CZK/EUR. There were used daily data of financial part of Yahoo http://finance.yahoo.com from 2001 to 2005. The values of three well known criteria for validation of model (Akaike information criterion, Schwarz criterion and Log likelihood) were used. The lowest values were for the TARCH and EGARCH model, so we consider them to be the best. Using this models volatility of logarithmic return was studied and different behavior of CZK/USD and CZK/EUR was detected. (en) Prezentovaná studie se soustřeďuje na modely typu GARCH, TARCH a EGARCH při analýze denních měnových kurzů CZK/USD a CZK/EUR. Jsou použita denní data z finanční část portálu Yahoo http://f nance.yahoo.com od roku 2001 do roku 2005. Pro ověření vhodnosti modelu jsme použili tři nejznámější kriteria - Akaikeho informační kriterium, Schwarzovo kriterium a maximální věrohodnost (Log likelihood). Nejnižší hodnoty jsme dosáhli pro TARCH a EGARCH model, proto je považujeme za nejlepší ze zkoumaných modelů. Tyto modely byly dále použity pro studium volatility CZK/USD a CZK/EUR (logaritmované výnosy). Z tohoto hlediska bylo zjištěno rozdílné chování obou kurzů. (cs)
Title	Three autoregressive models of exchange rates CZK/USD, CZK/EUR Tři autoregresní modely měnových kurzů CZK/USD, CZK/EUR (cs) Three autoregressive models of exchange rates CZK/USD, CZK/EUR (en)
skos:prefLabel	Three autoregressive models of exchange rates CZK/USD, CZK/EUR Tři autoregresní modely měnových kurzů CZK/USD, CZK/EUR (cs) Three autoregressive models of exchange rates CZK/USD, CZK/EUR (en)
skos:notation	RIV/49777513:23510/07:00000007!RIV08-MSM-23510___
http://linked.open.../vavai/riv/strany	45
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/05/2394), P(GA402/07/0465), P(LC06075)
http://linked.open...iv/cisloPeriodika	0
http://linked.open...vai/riv/dodaniDat	2008
http://linked.open...aciTvurceVysledku	Potměšil, Jaroslav
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Západočeská univerzita v Plzni / Fakulta ekonomická
http://linked.open...dnocenehoVysledku	455131
http://linked.open...ai/riv/idVysledku	RIV/49777513:23510/07:00000007
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Exchange rates; daily data; autoregressive model; volatility; CZK/USD; CZK/EUR (en)
http://linked.open.../riv/klicoveSlovo	Exchange rates CZK/USD volatility CZK/EUR daily data autoregressive model
http://linked.open...odStatuVydavatele	CA - Kanada
http://linked.open...ontrolniKodProRIV	[4BE8B7EE56D9]
http://linked.open...i/riv/nazevZdroje	Acta Systemica
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Threshold autoregressive models and their applications in economics Volatility models and their applications in Economics Center for Research in Economic Dynamics and Econometrics
http://linked.open...UplatneniVysledku	2007
http://linked.open...iv/tvurceVysledku	Potměšil, Jaroslav
issn	1813-4769
number of pages	3 (xsd:int)
http://localhost/t...ganizacniJednotka	23510
is http://linked.open...avai/riv/vysledek of	Three autoregressive models of exchange rates CZK/USD, CZK/EUR Three autoregressive models of exchange rates CZK/USD, CZK/EUR Three autoregressive models of exchange rates CZK/USD, CZK/EUR

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