"[9C9AD2C16692]" . . . "17" . "Kuchy\u0148ka, Alexandr" . "An Empirical Application of a Two-Factor Model of Stochastic Volatility"@en . "P\u0159edkl\u00E1dan\u00FD \u010Dl\u00E1nek se zab\u00FDv\u00E1 modelov\u00E1n\u00EDm volatility v\u00FDnos\u016F reprezentativn\u00EDch \u010Desk\u00FDch a americk\u00FDch akci\u00ED pomoc\u00ED dvoufaktorov\u00E9ho modelu stochastick\u00E9 volatility, kdy proces volatility je modelov\u00E1n jako superpozice dvou nez\u00E1visl\u00FDch autoregresn\u00EDch proces\u016F s odli\u0161nou m\u00EDrou perzistence. Jako proxy pro skute\u010Dnou volatilitu je pou\u017Eit logaritmus rozp\u011Bt\u00ED mezi maxim\u00E1ln\u00ED a minim\u00E1ln\u00ED cenou b\u011Bhem obchodn\u00EDho dne. Odhad parametr\u016F modelu a extrakce volatility je proveden pomoc\u00ED Kalmanova filtru. Porovn\u00E1n\u00ED \u010Desk\u00FDch a americk\u00FDch akci\u00ED ukazuje, \u017Ee a\u010Dkoli pr\u016Fm\u011Brn\u00E1 \u00FArove\u0148 volatility je na obou trz\u00EDch p\u0159ibli\u017En\u011B stejn\u00E1, variabilita procesu volatility je u \u010Desk\u00FDch akci\u00ED podstatn\u011B vy\u0161\u0161\u00ED."@cs . "1210-0455" . "An Empirical Application of a Two-Factor Model of Stochastic Volatility" . "RIV/67985556:_____/08:00314932" . . . . "1"^^ . "1"^^ . "CZ - \u010Cesk\u00E1 republika" . "An Empirical Application of a Two-Factor Model of Stochastic Volatility"@en . "3" . . "Empirick\u00E1 aplikace dvoufaktorov\u00E9ho modelu stochastick\u00E9 volatility"@cs . . "This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a two-factor stochastic volatility model, i.e. the volatility process is modeled as a superposition of two autoregressive processes. As the volatility is not observable, the logarithm of the daily range is employed as the proxy. 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 have shown that although the overall level of the volatility of returns is roughly the same in both markets, the US market exhibits substantially lower volatility of the volatility process."@en . . "11"^^ . "Prague Economic Papers" . "Empirick\u00E1 aplikace dvoufaktorov\u00E9ho modelu stochastick\u00E9 volatility"@cs . . . . . . "This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a two-factor stochastic volatility model, i.e. the volatility process is modeled as a superposition of two autoregressive processes. As the volatility is not observable, the logarithm of the daily range is employed as the proxy. 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 have shown that although the overall level of the volatility of returns is roughly the same in both markets, the US market exhibits substantially lower volatility of the volatility process." . "stochastic volatility; Kalman filter"@en . "RIV/67985556:_____/08:00314932!RIV09-GA0-67985556" . "P(GA402/07/0465), P(GA402/07/1113), P(LC06075), Z(AV0Z10750506)" . . . "355652" . . "An Empirical Application of a Two-Factor Model of Stochastic Volatility" . . .