Volatility Modelling & Forecasting: Heterogeneous Autoregressive Models
| Thesis title: | Volatility Modelling & Forecasting: Heterogeneous Autoregressive Models |
|---|---|
| Author: | Kováč, Roman |
| Thesis type: | Diploma thesis |
| Supervisor: | Málek, Jiří |
| Opponents: | Jonas, Milan |
| Thesis language: | English |
| Abstract: | Volatility on financial markets has been an interesting phenomenon for researchers and practicians during the past decades and nowadays it is still one of the most active research topics of financial econometrics. The turbulent period of the past eight years has only confirmed significant effects of time-varying volatility on the financial markets as well as the entire global economy. The development of econometric models of volatility has progressed hand in hand with their application in academia and financial industry. This development has triggered pronounced need for more efficient volatility modelling framework and we can indeed witness gradual shift from simple parametric models based on daily data to more complex stochastic models based on high-frequency data. This thesis illustrates the trend using estimation and subsequent comparison of an extremely popular GARCH (1,1) model with HAR-RV model and its extensions. |
| Keywords: | volatility; heterogeneity; GARCH; HAR-RV; high-frequency data |
| Thesis title: | Volatility Modelling & Forecasting: Heterogeneous Autoregressive Models |
|---|---|
| Author: | Kováč, Roman |
| Thesis type: | Diplomová práce |
| Supervisor: | Málek, Jiří |
| Opponents: | Jonas, Milan |
| Thesis language: | English |
| Abstract: | Volatilita na finančných trhoch bola zaujímavým javom pre vedcov i praktikov počas posledných dekád a aj dnes sa jedná o jednu z najaktuálnejších výskumných tém v rámci finančnej ekonometrie. Turbulentná doba posledných ôsmich rokov len potvrdila významné efekty volatility premenlivej v čase na finančné trhy a svetovú ekonomiku. Rozvoj ekonometrických modelov volatility pokročil ruku v ruke ich využívaním v akademickom svete aj finančnom sektore. Tento vývoj vyvolal výraznú potrebu efektívnejšieho rámca modelovania volatility a vskutku je možné pozorovať postupný presun od jednoduchých parametrických modelov založených na denných dátach ku komplexnejším modelom so stochastickými prvkami založenými na vysokofrekvenčných dátach. Táto práca ilustruje tento trend za použitia odhadu a následného porovnania extrémne populárneho modelu GARCH (1,1) s modelom HAR-RV a jeho rozšíreniami. |
| Keywords: | HAR-RV; GARCH; heterogenita; vysokofrekvenčné dáta; volatilita |
Information about study
| Study programme: | Finance a účetnictví/Finanční inženýrství |
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| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Finance and Accounting |
| Department: | Department of Banking and Insurance |
Information on submission and defense
| Date of assignment: | 26. 1. 2015 |
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| Date of submission: | 1. 9. 2015 |
| Date of defense: | 16. 6. 2015 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/50969/podrobnosti |