Application and comparison of GARCH and GJR models for volatility modelling

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Application and comparison of GARCH and GJR models for volatility modelling

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Application and comparison of GARCH and GJR models for volatility modelling

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

7

Strana od-do

409-415

Název nakladatele

VŠB-Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

9. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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