Volatility Modeling: Evidence from CEE Stock Markets
|Author:||Mgr. Eva Brabcová|
|Year:||2010 - summer|
|Leaders:|| doc. PhDr. Jozef Baruník Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis.|
|Abstract:||The thesis applies newly developed heterogenous autoregressive model of realized volatility on high frequency data of three stock market indices: Prague, Budapest and Warsaw with the aim to capture behavior of three different market participants and to quantify their role in forecasting daily realized volatility. Also, the presence of jumps in volatility is investigated and the predictive power assessed. In addition, wavelet analysis is used to detect periods and frequencies of comovements between the three indices.
The main contribution of the thesis lies especially in its primary empirical analysis conducted in CEE region.
The estimation results indicate that future realized volatility is determined very similarly in all markets with an insignificant impact of participants trading on monthly basis. Moreover, occurrence of a jump proves to be of a high relevance when predicting future volatility. Moreover, wavelet analysis indicates a strong degree of comovement at a frequency of few months across the whole period examined.
|Downloadable:|| Diploma Thesis of Brabcová