Modelování volatility akciových trhů

Abstract

This thesis id developed to modeling of stock market volatility of Central Europe and USA. Thesis is focused on testing of efficiency on Czech, Polish and American stock market. The main purpose is an empirical analysis of volatility on of the selected stock market in countries of middle Europe and USA in the period from 1. January 2004 to 8. March 2012 with using linear and nonlinear models of volatility. Index PX, WIG20 and NASDAQ were selected as representatives of analyzed stock markets. Based on the selected data in the form of the logarithms of daily returns was divided into three time periods. The financial time series were performed basic statistical analysis and then have been tested by linear and nonlinear models of volatility with graph illustration of volatility. There is a summary of results in the end of the thesis.