Application and comparison of GARCH and GJR models for volatility modelling
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087391" target="_blank" >RIV/61989100:27510/13:86087391 - 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
Application and comparison of GARCH and GJR models for volatility modelling
Original language description
Modelling of financial time series is related to two issues, which are necessary to deal with: fat tails of probability distributions and volatility clustering. Both issues were already tackled with different approaches. At present the distributions suchas Student, normal-inverse Gaussian, variance-gamma and others are applied to model the time series of returns. On the other hand, the conditionality of variance is usually modelled by some type of model similar to the GARCH model. In this paper we assume GARCH model and its modification GJR model with both Gaussian and Student distributions for FX returns modelling. The goal of the paper is to apply these models on chosen FX time series and check the statistical significance of particular parameters as well as the assumption about the probability distribution of residuals.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions : 9th international scientific conference : 9th - 10th September 2013, Ostrava, Czech Republic : proceedings. [Part 1-3]
ISBN
978-80-248-3172-5
ISSN
2336-162X
e-ISSN
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Number of pages
7
Pages from-to
409-415
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 9, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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