. "Volatility; open-end-funds; conditional distribution; error"@en . "1802-212X" . "Podm\u00EDn\u011Bn\u00E9 rozd\u011Blen\u00ED nesystematick\u00E9 slo\u017Eky model\u016F volatility finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad"@cs . . "P(SP/4I2/60/07)" . . "386986" . "Vysok\u00E1 \u0161pi\u010Datost, siln\u00E9 konce, asymetrie nepodm\u00EDn\u011Bn\u00E9ho rozd\u011Blen\u00ED a nekonstantnost rozptylu cen pod\u00EDlov\u00FDch list\u016F vedou k hled\u00E1n\u00ED vhodn\u00E9ho pravd\u011Bpodobnostn\u00EDho rozd\u011Blen\u00ED jeho\u017E c\u00EDlem je popis chov\u00E1n\u00ED \u010Dasov\u00FDch \u0159ad a modelov\u00E1n\u00ED jejich podm\u00EDn\u011Bn\u00E9ho rozptylu (volatility). Anal\u00FDza se zam\u011B\u0159uje na p\u011Bt \u010Dasov\u00FDch \u0159ad \u010Desk\u00FDch akciov\u00FDch pod\u00EDlov\u00FDch fond\u016F - na nepodm\u00EDn\u011Bn\u00E9 pravd\u011Bpodobnostn\u00ED rozd\u011Blen\u00ED jejich logaritmovan\u00FDch v\u00FDnos\u016F. S ohledem na odhalenou nenormalitu rezidu\u00ED, nen\u00ED spln\u011Bna jedna ze z\u00E1kladn\u00EDch podm\u00EDnek model\u016F volatility. Vhodn\u00E9 modely mohou b\u00FDt vytvo\u0159eny zm\u011Bnou p\u0159edpokladu o podm\u00EDn\u011Bn\u00E9m rozd\u011Blen\u00ED nesystematick\u00E9 slo\u017Eky na Studentovo nebo GED rozd\u011Blen\u00ED. Parametry vybran\u00FDch model\u016F volatility jsou odhadnuty rozd\u00EDln\u00FDmi metodami pou\u017E\u00EDvaj\u00EDc\u00EDmi odli\u0161n\u00E9 v\u011Brohodnostn\u00ED funkce. Odhady jsou vz\u00E1jemn\u011B porovn\u00E1ny s c\u00EDlem nal\u00E9zt doporu\u010Den\u00ED pro modelov\u00E1n\u00ED finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad." . "12"^^ . "Studia Oecologica" . "High value of kurtosis, heavy tails, asymmetric unconditional distribution and nonstationarity of open-end-funds allotment certificates prices is the main reason for searching for an alternative non-normal probability distribution in order to describe time series behavior and to model its conditional mean and conditional variance (volatility). Analysis focuses on five share funds pursuing in the Czech Republic, especially on unconditional distribution of their logarithmic returns. With respect to discovered non-normality of residuals, the key volatility model assumption is not met. Suitable models can be obtained by changing the model distributional assumption of error term to Student-t distribution or Generalized Error Distribution. Model parameters are estimated using different maximization methods based on derived likelihood functions. Parameter estimates are compared in order to find recommendations for modeling conditional variance of financial time series."@en . "1"^^ . . . "Podm\u00EDn\u011Bn\u00E9 rozd\u011Blen\u00ED nesystematick\u00E9 slo\u017Eky model\u016F volatility finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad"@cs . . . . . "1"^^ . . "Podm\u00EDn\u011Bn\u00E9 rozd\u011Blen\u00ED nesystematick\u00E9 slo\u017Eky model\u016F volatility finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad" . "13520" . . . "[54AE7A97C83F]" . "Conditional Distribution of Financial Time Series Volatility Models Errors"@en . "2" . "Conditional Distribution of Financial Time Series Volatility Models Errors"@en . "Vysok\u00E1 \u0161pi\u010Datost, siln\u00E9 konce, asymetrie nepodm\u00EDn\u011Bn\u00E9ho rozd\u011Blen\u00ED a nekonstantnost rozptylu cen pod\u00EDlov\u00FDch list\u016F vedou k hled\u00E1n\u00ED vhodn\u00E9ho pravd\u011Bpodobnostn\u00EDho rozd\u011Blen\u00ED jeho\u017E c\u00EDlem je popis chov\u00E1n\u00ED \u010Dasov\u00FDch \u0159ad a modelov\u00E1n\u00ED jejich podm\u00EDn\u011Bn\u00E9ho rozptylu (volatility). Anal\u00FDza se zam\u011B\u0159uje na p\u011Bt \u010Dasov\u00FDch \u0159ad \u010Desk\u00FDch akciov\u00FDch pod\u00EDlov\u00FDch fond\u016F - na nepodm\u00EDn\u011Bn\u00E9 pravd\u011Bpodobnostn\u00ED rozd\u011Blen\u00ED jejich logaritmovan\u00FDch v\u00FDnos\u016F. S ohledem na odhalenou nenormalitu rezidu\u00ED, nen\u00ED spln\u011Bna jedna ze z\u00E1kladn\u00EDch podm\u00EDnek model\u016F volatility. Vhodn\u00E9 modely mohou b\u00FDt vytvo\u0159eny zm\u011Bnou p\u0159edpokladu o podm\u00EDn\u011Bn\u00E9m rozd\u011Blen\u00ED nesystematick\u00E9 slo\u017Eky na Studentovo nebo GED rozd\u011Blen\u00ED. Parametry vybran\u00FDch model\u016F volatility jsou odhadnuty rozd\u00EDln\u00FDmi metodami pou\u017E\u00EDvaj\u00EDc\u00EDmi odli\u0161n\u00E9 v\u011Brohodnostn\u00ED funkce. Odhady jsou vz\u00E1jemn\u011B porovn\u00E1ny s c\u00EDlem nal\u00E9zt doporu\u010Den\u00ED pro modelov\u00E1n\u00ED finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad."@cs . "Popelka, Jan" . "RIV/44555601:13520/08:00004321!RIV10-MZP-13520___" . . . . "CZ - \u010Cesk\u00E1 republika" . "Podm\u00EDn\u011Bn\u00E9 rozd\u011Blen\u00ED nesystematick\u00E9 slo\u017Eky model\u016F volatility finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad" . "RIV/44555601:13520/08:00004321" . .