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rdf:type
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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)
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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)
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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)
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skos:notation
| - RIV/49777513:23510/08:00500911!RIV09-MSM-23510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
| - P(GA402/05/2394), P(GA402/07/0465), P(LC06075)
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/49777513:23510/08:00500911
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - Exchange rates; daily data; autoregressive model; volatility; CZK/USD; CZK/EUR (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Conference Proceedings of the Special Focus Symposium on 6th CIESK
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
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http://linked.open...vavai/riv/typAkce
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http://linked.open.../riv/zahajeniAkce
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number of pages
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http://purl.org/ne...btex#hasPublisher
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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