Odhad stochastických modelů vybraných komoditních aktiv

Abstract

The thesis is focused on the estimation of stochastic models of selected commodity assets. Selected commodities are assets of industrial metals, particularly aluminum, copper, lead, tin, nickel and zinc. The aim of this work is to estimate the stochastic models of selected commodity assets. The theoretical part defines terms relating to commodities, and the principle of investing in commodities. After the Czech and world commodity exchanges are described. In the next part the stochastic processes and process modeling are described. The practical part is devoted to estimation of stochastic models of selected metals, namely aluminum, copper, lead, tin, nickel and zinc. These metals are traded on the LME. Parameter estimates are made the method of least squares. It is also examined statistical significance of estimated parameters is performed and testing normality of residues. The collected data are compiled stochastic models of mean reversion. The conclusions are made on based of calculations.