Modelování dopadu výkyvů cen ropy na volatilitu akciových trhů

Abstract

This thesis is devoted to modeling time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries considering the origin of oil price shocks. The sample consists of two oil-exporting countries (United Kingdom and Russian federation) and two oil-importing countries (Germany and France). The aim of the thesis is to modelling the impact of oil price fluctuation on the volatility of stock markets in the period from 3. 1. 2000 to 31. 12. 2014 based on the daily closing rates of stock indices CAC 40, DAX, FTSE 100, RTS and the prices of the European Brent spot price. Sub-goal of the thesis is to assess the appropriateness of use multivariate models of volatility, stability analysis of results in defined time periods at resolution equity markets on oil-importing countries and oil-exporting countries and analysis of time-varying correlations between oil price and stock markets considering the origin of oil price shocks. For this thesis the DCC GARCH(1,1) model is estimated to analyze the correlation structure between stock indices and oil returns. In this two-step method, first a GARCH model is estimated for each univariate data series and, next, the residuals of the estimated GARCH model are used in estimating the conditional correlations. According graphs of time-varying correlation coefficient, there is alalyzed major break point in correlation trend between each stock market index and the crude oil prices.