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Model of Czech economy during process of convergence
Basic themes of document: Balassa Samuelson effect; IS-MP-IA model; GARCH model...
AH - Ekonomie
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
The Importance of Modelling and Forecasting of Time Series Volatility for the Control of Economic Processes.
Basic themes in document: Votatility; GARCH; Interest Rate; Transmission Mechanism; Effective intervention.
BB - Aplikovaná statistika, operační výzkum
- 2000 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
processes withup to two lags and variance with one of GARCH, EGARCH or TARCH processes result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA process p...
AH - Ekonomie
- 2011 •
- O
Rok uplatnění
O - Ostatní výsledky
Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies
-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration probability distribution, created from process innovations. Due to a deeper shortage forecasts we backtested D-Vine copula ARMA-GARCH mod...
BB - Aplikovaná statistika, operační výzkum
- 2015 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Analyse of Stock Indeces
Basic themes of document: GARCH; EGARCH; GJR-GARCH; ICSS; stock indexes; financial markets; econometrics models...
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Forecasting Volatility Based on the Relevance Vector Machine
Main topics of the document: relevance vector machine; volatility models; RVM; GARCH; EGARCH; GJR-GARCH...
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
The Construction of Forecasts on the base of GARCH model.
Basic themes in document: model; forecast; volatility; GARCH.
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
GARCH models, tail indexes and error distributions: An empirical investigation
generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme by simulating GARCH models. Our results suggest that actual and simulated values differ greatly for GARCH models with normal conditio...
AH - Ekonomie
- 2016 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Application of fuzzy GARCH model for forecasting exchange rate volatility
The paper describes the approach to modelling volatility by combination of GARCH mothodology and fuzzy regression approach. The methodology is applied on interest rates of the Czech economy. GARCH model is described and fuzzy regres...
AH - Ekonomie
- 2002 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
ARIMA and GARCH models for stock returns.
Basic themes in document: stock returns; GARCH models. { ? ? č đ ň " ) - d...
BB - Aplikovaná statistika, operační výzkum
- 2001 •
- D
Rok uplatnění
D - Stať ve sborníku
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