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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Various autoregressive models are often used in the research of time series. In present study we focused on GARCH, TARCH and EGARCH models for analysis of daily stock indexes DAX (GDAXI), Dow Jones Industrial Average Index (DJI), FTSE 100 (FTSE), NASDAQ Composite (IXIC), NIKKEI 225 (N225) including Prague stock index (PX) that has been constituted in 1990. Data of DataStream database were analyzed from 19. 9. 1994 to 19. 9. 2006. The values of three commonly used criteria for validation of model (Akaike information criterion, Schwarz criterion and Log likelihood) were the lowest using the GARCH model. Subsequently we have found that the volatility of the Prague stock index is closely similar to Frankfurt, New York, London and Tokyo indexes. Various autoregressive models are often used in the research of time series. In present study we focused on GARCH, TARCH and EGARCH models for analysis of daily stock indexes DAX (GDAXI), Dow Jones Industrial Average Index (DJI), FTSE 100 (FTSE), NASDAQ Composite (IXIC), NIKKEI 225 (N225) including Prague stock index (PX) that has been constituted in 1990. Data of DataStream database were analyzed from 19. 9. 1994 to 19. 9. 2006. The values of three commonly used criteria for validation of model (Akaike information criterion, Schwarz criterion and Log likelihood) were the lowest using the GARCH model. Subsequently we have found that the volatility of the Prague stock index is closely similar to Frankfurt, New York, London and Tokyo indexes. (en) Při studiu časových řad jsou často užívány různé autoregresní modely. V této studii se soustřeďujeme na modely GARCH, TARCH a EGARCH a používáme je pro analýzu denních burzovních indexů DAX (GDAXI), Dow Jones Industrial Average Index (DJI), FTSE 100 (FTSE), NASDAQ Composite (IXIC), NIKKEI 225 (N225) včetně Pražského burzovního indexu (PX), který byl vytvořen 1990. Použili jsme data získaná z databáze DataStream z období 19. 9. 1994 do 19. 9. 2006. Pro ověření vhodnosti modelu jsme použili tři nejznámější kriteria - Akaikeho informační kriterium, Schwarzovo kriterium a maximální věrohodnost (Log likelihood). Nejnižší hodnoty jsme dosáhli pro GARCH model. Následně jsme zjistili, že volatilita pražského burzovního indexu (P (cs)
Title	Comparison of the behavior of some daily stock indexes Srovnání chování některých denních burzovních indexů (cs) Comparison of the behavior of some daily stock indexes (en)
skos:prefLabel	Comparison of the behavior of some daily stock indexes Srovnání chování některých denních burzovních indexů (cs) Comparison of the behavior of some daily stock indexes (en)
skos:notation	RIV/49777513:23510/07:00000004!RIV08-MSM-23510___
http://linked.open.../vavai/riv/strany	51
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	414415
http://linked.open...ai/riv/idVysledku	RIV/49777513:23510/07:00000004
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Stock index; daily data; autoregressive model (en)
http://linked.open.../riv/klicoveSlovo	daily data autoregressive model Stock index
http://linked.open...odStatuVydavatele	CA - Kanada
http://linked.open...ontrolniKodProRIV	[7BA038FF76FE]
http://linked.open...i/riv/nazevZdroje	IIAS-Transactions on System Research and Cybernetics
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	1609-8625
number of pages	5 (xsd:int)
http://localhost/t...ganizacniJednotka	23510
is http://linked.open...avai/riv/vysledek of	Comparison of the behavior of some daily stock indexes Comparison of the behavior of some daily stock indexes Comparison of the behavior of some daily stock indexes

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