"Modely volatility a jejich ekonomick\u00E9 aplikace" . . . "The estimation of parameters and volatility extraction are performed using the Kalman filter. We have obtained a meaningful decomposition of the volatility process into one highly persistent factor and another quickly mean-reverting factor. Moreover, we"@en . . "volatility" . . " GARCH" . "Odhad parametr\u016F a extrakce volatility byly uskute\u010Dn\u011Bny pomoc\u00ED Kalmanova filtru. Byla z\u00EDsk\u00E1na smyslupln\u00E1 dekompozice volatility na jeden vysoce persistentn\u00ED faktor a druh\u00FD faktor, kter\u00FD se rychle vrac\u00ED ke st\u0159edu. A\u010Dkoliv \u010Desk\u00FD i americk\u00FD trh se chovaj\u00ED z"@cs . . "2007-01-01+01:00"^^ . "GA402/07/0465" . . "P\u0159edkl\u00E1dan\u00FD projekt navazuje na sou\u010Dasn\u00FD stav pozn\u00E1n\u00ED v oblasti modelov\u00E1n\u00ED volatility \u010Dasov\u00FDch \u0159ad (zejm. finan\u010Dn\u00EDho charakteru, jako jsou akciov\u00E9 v\u00FDnosy \u010Di devizov\u00E9 kurzy), kter\u00FD roz\u0161i\u0159uje ve sm\u011Bru zkoum\u00E1n\u00ED stability parametr\u016F dan\u00E9ho modelu. Jedn\u00E1 se o oblast st\u00E1le je\u0161t\u011B teoreticky m\u00E1lo rozpracovanou, kter\u00E1 m\u00E1 nicm\u00E9n\u011B v\u00FDrazn\u00E9 d\u016Fsledky pro ekonometrick\u00E9 modelov\u00E1n\u00ED. Je-li v modelu zanedban\u00E1 struktur\u00E1ln\u00ED zm\u011Bna, ekonometrick\u00E9 v\u00FDsledky odhad\u016F nejsou spolehliv\u00E9 a obvykle je lze interpretovat jen t\u011B\u017Eko nebo v\u016Fbec ne. Jedn\u00EDm z d\u00EDl\u010D\u00EDch c\u00EDl\u016F projektu je proto rozvoj metod testov\u00E1n\u00ED stability \u00FArovn\u011B volatility v \u010Dase. V ohnisku z\u00E1jmu budou probl\u00E9my testov\u00E1n\u00ED stability parametr\u016F u slo\u017Eit\u011Bj\u0161\u00EDch model\u016F ne\u017E je GARCH(1,1) a problematika, kdy doch\u00E1z\u00ED k v\u00EDcen\u00E1sobn\u00E9 \u010Digradu\u00E1ln\u00ED struktur\u00E1ln\u00ED zm\u011Bn\u011B. Zna\u010Dn\u00E1 pozornost je v\u011Bnov\u00E1na diseminaci z\u00EDskan\u00FDch teoretick\u00FDch v\u00FDsledk\u016F mezi \u0161ir\u0161\u00ED akademeckou obec; z tohoto d\u016Fvodu je navrhov\u00E1no vytvo\u0159en\u00ED webov\u00E9ho rozhran\u00ED, kter\u00E9 umo\u017En\u00ED z\u00E1jemc\u016Fm prov\u00E1d\u011Bt interaktivn\u00ED v\u00FDpo\u010Dty a simulace." . . "This project builds the on current state of knowledge in the area of modelling volatility of time series (financial data like stock or exchange rate returns in particular) which will be extended in direction to investigating parameter stability for a given model. Research in this area is still in the beginnings, nevertheless, implications for econometric modelling are pronounced. If a structural change is neglected in the model, estimation results are not reliable and are difficult or even impossibleto interpret. Development of methods of testing for variance constancy is one of the partial aims of the project. The focus will be given on testing for parameter stability in more complex models comparing to GARCH(1,1) and multiple or gradual structuralchange. Dissemination of obtained results among the academic community is given a considerable attention; for this reason, creation of web interface which allows to perform calculations and simulations in an interactive way is proposed."@en . "2009-10-22+02:00"^^ . . . "Volatility models and their applications in Economics"@en . "5"^^ . "5"^^ . . "http://www.isvav.cz/projectDetail.do?rowId=GA402/07/0465"^^ . "volatility; GARCH; time series"@en . "2008-12-31+01:00"^^ . . . . . "2008-04-25+02:00"^^ . "1"^^ . . . "0"^^ . . . . "0"^^ .