Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Ekonomický časopis (Journal of Economics)

Authors help

  1. 1 Marček D.

Years help

  1. 1 2014

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  LEVERAGE EFFECT
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

MODELOVANIE VOLATILITY A PREDIKČNÉ MODELY VYSOKOFREKVENČNÝCH FINANČNÝCH DÁT: ŠTATISTICKÝ A NEURONOVÝ PRÍSTUP

100%
Marček D.
Ekonomický časopis (Journal of Economics)
|
2014
|
vol. 62
|
issue 2
133 – 149
XX
In the article we first introduce asymmetric response of equity volatility to return shock and then the effect of good and bad news to volatility for empirical time series of EUR/USD (EUR currency against US dollar) exchange rates in the pre-crisis period, during the crisis and the post-crisis period. We found that GARCH-class models with normal errors are not capable to capture fully the leptokurtosis in empirical time series, while Student´s t and GED errors provide better description for the conditional volatility. Then, we alternatively develop forecasting models based on the ARIMA/GARCH methodology and on the neural approach. In the direct comparison between statistical and neural models, the experiment shows that the neural approach clearly improve the forecast accuracy.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.