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| rdf:type
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| Description
| - In recent years, an extensive literature has been developed on studying the volatility of financial markets. One of the most challenging econometric problems is to understand and model the behavior of the volatility through time. This paper deals with an impact of structural breaks on long memory of volatility using iterated cumulative sum of squares (ICSS) algorithm. Using this algorithm one can identify sudden changes in volatility of stock markets corresponding to major economic and political events that have been affecting stock markets worldwide. In this paper we considered daily data of PX and BUX indexes in period from 2004 till 2012 which includes recent global financial crisis of 2008-2009 years. For a comprehensive analysis, several sophisticated models of quantitative analysis have been adopted. We especially worked with GARCH and FIGARCH models with multiple sudden change dummies. When incorporating these sudden changes into conditional volatility models, volatility persistence or long memory property has significantly disappear. This finding means that ignoring an influence of sudden changes leads to overestimation of volatility persistence and potential errors by risk managers when interpreting Value-at-Risk. Therefore, inclusion of information on sudden shocks in conditional variance may improve the precision of volatility dynamics and forecasting.
- In recent years, an extensive literature has been developed on studying the volatility of financial markets. One of the most challenging econometric problems is to understand and model the behavior of the volatility through time. This paper deals with an impact of structural breaks on long memory of volatility using iterated cumulative sum of squares (ICSS) algorithm. Using this algorithm one can identify sudden changes in volatility of stock markets corresponding to major economic and political events that have been affecting stock markets worldwide. In this paper we considered daily data of PX and BUX indexes in period from 2004 till 2012 which includes recent global financial crisis of 2008-2009 years. For a comprehensive analysis, several sophisticated models of quantitative analysis have been adopted. We especially worked with GARCH and FIGARCH models with multiple sudden change dummies. When incorporating these sudden changes into conditional volatility models, volatility persistence or long memory property has significantly disappear. This finding means that ignoring an influence of sudden changes leads to overestimation of volatility persistence and potential errors by risk managers when interpreting Value-at-Risk. Therefore, inclusion of information on sudden shocks in conditional variance may improve the precision of volatility dynamics and forecasting. (en)
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| Title
| - On Structural Breaks and Volatility Persistence: Evidence from Central European Stock Market
- On Structural Breaks and Volatility Persistence: Evidence from Central European Stock Market (en)
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| skos:prefLabel
| - On Structural Breaks and Volatility Persistence: Evidence from Central European Stock Market
- On Structural Breaks and Volatility Persistence: Evidence from Central European Stock Market (en)
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| skos:notation
| - RIV/61989100:27510/13:86086771!RIV15-MSM-27510___
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| http://linked.open...avai/riv/aktivita
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| http://linked.open...avai/riv/aktivity
| - P(EE2.3.20.0296), P(GA13-13142S)
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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/61989100:27510/13:86086771
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| http://linked.open...riv/jazykVysledku
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| http://linked.open.../riv/klicovaSlova
| - emerging stock market, GARCH, ICSS algorithm, structural breaks, stock market, volatility persistence (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
| - Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
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| http://linked.open...in/vavai/riv/obor
| |
| http://linked.open...ichTvurcuVysledku
| |
| http://linked.open...cetTvurcuVysledku
| |
| http://linked.open...vavai/riv/projekt
| |
| http://linked.open...UplatneniVysledku
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| http://linked.open...iv/tvurceVysledku
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| http://linked.open...vavai/riv/typAkce
| |
| http://linked.open...ain/vavai/riv/wos
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| http://linked.open.../riv/zahajeniAkce
| |
| number of pages
| |
| http://purl.org/ne...btex#hasPublisher
| - College of Polytechnics Jihlava
|
| https://schema.org/isbn
| |
| http://localhost/t...ganizacniJednotka
| |
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