Volatilita akciových trhů v kontextu dluhové krize

Abstract

The aim of the thesis is to analyse and compare development of six selected stock markets of the Euro area by their volatility in the period before and during the debt crisis in terms of chosen volatility model. In the first part of the thesis the issue of the debt crisis in Euro area and the character of the selected stock markets are described. In the second part, the theoretical aspects of volatility modelling at the stock markets are defined. The third part is focused on modelling volatility at the selected stock markets. For this purpose the GARCH (1,1) model is chosen and applied at stock markets of four most indebted countries and two least indebted countries in Euro area. The progression of volatility at the stock markets is analysed in period ranging from 1st January 2004 to 31st December 2013.