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Statements

Subject Item
n2:RIV%2F49777513%3A23510%2F08%3A00500911%21RIV09-MSM-23510___
rdf:type
skos:Concept n20:Vysledek
dcterms: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. 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 části portálu Yahoo http://finance.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.
dcterms:title
Three autoregressive models of exchange rates CZK/USD, CZK/EUR Tři autoregresní modely měnových kurzů CZK/USD, CZK/EUR Three autoregressive models of exchange rates CZK/USD, CZK/EUR
skos:prefLabel
Tři autoregresní modely měnových kurzů CZK/USD, CZK/EUR Three autoregressive models of exchange rates CZK/USD, CZK/EUR Three autoregressive models of exchange rates CZK/USD, CZK/EUR
skos:notation
RIV/49777513:23510/08:00500911!RIV09-MSM-23510___
n4:aktivita
n13:P
n4:aktivity
P(GA402/05/2394), P(GA402/07/0465), P(LC06075)
n4:dodaniDat
n19:2009
n4:domaciTvurceVysledku
n16:2536196
n4:druhVysledku
n15:D
n4:duvernostUdaju
n5:S
n4:entitaPredkladatele
n18:predkladatel
n4:idSjednocenehoVysledku
399993
n4:idVysledku
RIV/49777513:23510/08:00500911
n4:jazykVysledku
n14:eng
n4:klicovaSlova
Exchange rates; daily data; autoregressive model; volatility; CZK/USD; CZK/EUR
n4:klicoveSlovo
n7:CZK%2FEUR n7:autoregressive%20model n7:CZK%2FUSD n7:Exchange%20rates n7:daily%20data n7:volatility
n4:kontrolniKodProRIV
[A334862C5247]
n4:mistoKonaniAkce
Baden-Baden, Germany
n4:mistoVydani
Zagreb
n4:nazevZdroje
Conference Proceedings of the Special Focus Symposium on 6th CIESK
n4:obor
n9:BB
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
1
n4:projekt
n8:GA402%2F05%2F2394 n8:LC06075 n8:GA402%2F07%2F0465
n4:rokUplatneniVysledku
n19:2008
n4:tvurceVysledku
Potměšil, Jaroslav
n4:typAkce
n17:WRD
n4:zahajeniAkce
2009-07-29+02:00
s:numberOfPages
4
n10:hasPublisher
University of Zagreb
n12:isbn
978-953-7210-08-3
n11:organizacniJednotka
23510