About: On Comparing Various Modelling Schemes: The Case of the Prague Stock Exchange Index

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://msed.vse.cz/msed_2014/index
Description	This year the PX index, the key price index of the Prague Stock Exchange, celebrated twenty years of its existence. Therefore, one could be indeed interested in analysing historical daily closing quotes of this stock index from an econometric point of view. In detail, the aim of this contribution is to introduce a particular class of discrete-time state space models and demonstrate that this class is appropriate for such a univariate financial time series. Particularly, it involves regularly applied econometric modelling instruments; it combines a local level model and a linear ARMA process together with conditionally heteroscedastic innovations. Moreover, the suggested modelling framework is examined in different settings of parameters. The final model is selected with respect to standard information and prediction criteria; it is further investigated and statistically verified by inspecting prediction residuals. Its empirical performance is compared with other commonly applied methods, i.e. with linear ARMA or benchmark GARCH models. This year the PX index, the key price index of the Prague Stock Exchange, celebrated twenty years of its existence. Therefore, one could be indeed interested in analysing historical daily closing quotes of this stock index from an econometric point of view. In detail, the aim of this contribution is to introduce a particular class of discrete-time state space models and demonstrate that this class is appropriate for such a univariate financial time series. Particularly, it involves regularly applied econometric modelling instruments; it combines a local level model and a linear ARMA process together with conditionally heteroscedastic innovations. Moreover, the suggested modelling framework is examined in different settings of parameters. The final model is selected with respect to standard information and prediction criteria; it is further investigated and statistically verified by inspecting prediction residuals. Its empirical performance is compared with other commonly applied methods, i.e. with linear ARMA or benchmark GARCH models. (en)
Title	On Comparing Various Modelling Schemes: The Case of the Prague Stock Exchange Index On Comparing Various Modelling Schemes: The Case of the Prague Stock Exchange Index (en)
skos:prefLabel	On Comparing Various Modelling Schemes: The Case of the Prague Stock Exchange Index On Comparing Various Modelling Schemes: The Case of the Prague Stock Exchange Index (en)
skos:notation	RIV/00216208:11320/14:10282454!RIV15-GA0-11320___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GBP402/12/G097)
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Hendrych, Radek
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	34252
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10282454
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	state space methods; PX index; local level model; GARCH; ARMA (en)
http://linked.open.../riv/klicoveSlovo	GARCH ARMA PX index local level model state space methods
http://linked.open...ontrolniKodProRIV	[9453E54B3BC3]
http://linked.open...v/mistoKonaniAkce	Praha
http://linked.open...i/riv/mistoVydani	Slaný
http://linked.open...i/riv/nazevZdroje	Conference Proceedings of the 8th International Days of Statistics and Economics
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	DYME-Dynamic Models in Economics
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Hendrych, Radek
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2014-09-11 (xsd:date)
number of pages	10 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Libuše Macáková, MELANDRIUM
https://schema.org/isbn	978-80-87990-02-5
http://localhost/t...ganizacniJednotka	11320

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