Modelování a predikce volatility devizových kurzů

Abstract

This master thesis focuses on the modeling and forecasting of exchange rate volatility of Czech koruna, Polish zloty and Hungarian forint. Having used the Eviews application, the best models of conditional heteroskedasticity have been estimated for each currency. These models are then subjected to tests for normality, autocorrelation and heteroskedasticity. Furthermore, the best forecasting volatility models are identified.