Modelování volatility vybraných akciových indexů zemí střední Evropy

Abstract

This thesis is devoted to modeling volatility of stock markets in Central Europe. Thesis is focused on the Hungarian, Polish, Slovak and Czech stock market. The main objective of this thesis is an empirical analysis of the volatility of stock indexes of selected countries in Central Europe in the period from 2004 to 2009 using linear and nonlinear methods. Sub-goal of the thesis is to assess the appropriateness of use the linear and nonlinear models of volatility, stability analysis of results in defined time periods, to test asymmetry of new information arrival on the market, to check whether the market values the risk. Index BUX, WIG, SAX, and PX were selected as representatives of analyzed stock markets. Based on the selected data in the form of the logarithms of daily returns was performed basic statistical analysis and we have estimated the best linear and nonlinear models of volatility. These estimations were tested by the test of normality, autocorrelation, heteroscedasticity. At the end of the thesis was volatility illustrated graphically and described.