Stochastic volatility and returns distributions of the Prague Stock Exchange Index
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F15%3A39899851" target="_blank" >RIV/00216275:25410/15:39899851 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Stochastic volatility and returns distributions of the Prague Stock Exchange Index
Original language description
In this paper we focused on the daily log returns of investment in the Prague stock exchange index, PX-Index. Considering an investment trust that takes a "passive" investment strategy and invests its assets in a specified stock-market index - the PX Index. We analysed data from January 1st, 1995 to February 20th, 2014. A popular model for stock market returns is that the log investment returns are independent and identically distributed (i.i.d.) normal random variables. We focused on the daily log returns and analysed the distribution of these returns. By means of the well-known Jarque-Bera test we reject the i.i.d. normal hypothesis of daily log returns. We emphasize this by looking at the data using graphical techniques, such as histogram and Q-Q plot. We can see that the data has fatter left and right-hand tails than the normal distribution. Conclusions of our basic analysis are that the daily log returns are leptokurtic and heavy tailed. They are not i.i.d. and volatility varies o
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
IN - Informatics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
The 20th International Conference on Applied Mathematics (AMATH'15): proceedings
ISBN
978-1-61804-354-2
ISSN
2227-4588
e-ISSN
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Number of pages
8
Pages from-to
22-29
Publisher name
WSEAS Press
Place of publication
Atény
Event location
Budapesť
Event date
Dec 12, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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