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Economic Research Support - 7th Annual Competition for the Prize of prof. František Vencovský 经济研究支援-第七届年度竞赛František Vencovský教授奖
ACTA VSFS Pub Date : 2020-04-01 DOI: 10.37355/acta-2020/1-05
Mojmír Helísek
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引用次数: 0
The Efficiency of GARCH Models in Realizing Value at Risk Estimates GARCH模型在实现风险价值评估中的效率
ACTA VSFS Pub Date : 2020-04-01 DOI: 10.37355/ACTA-2020/1-03
Tomás Jerábek
{"title":"The Efficiency of GARCH Models in Realizing Value at Risk Estimates","authors":"Tomás Jerábek","doi":"10.37355/ACTA-2020/1-03","DOIUrl":"https://doi.org/10.37355/ACTA-2020/1-03","url":null,"abstract":"Market risk is an important type of financial risk that is usually caused by price fluctuations in financial markets. One determinant of market risk comprises Value at Risk (VaR), which is defined as the maximum loss that can be achieved within a certain time horizon and at a given reliability level. The aim of the article is to determine the importance of selecting conditional volatility model within the parametric and semi-parametric approach for VaR estimation. The results ascertained show that the application of these models tends to provide more accurate predictions of actual losses as compared to traditional approaches to VaR estimates. Overall, the application of conditional volatility models ensures that VaR estimates are more flexible to adapt to changing market conditions – especially in the periods associated with higher return volatility. Furthermore, the results show that the differences between individual models of contingent volatility are primarily determined by selecting the specific distribution of the standardized residue series.","PeriodicalId":30693,"journal":{"name":"ACTA VSFS","volume":"14 1","pages":"32-50"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69832734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Prague Stock Exchange (1993-1997) 布拉格证券交易所(1993-1997)
ACTA VSFS Pub Date : 2020-04-01 DOI: 10.37355/acta-2020/1-08
J. Budik
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引用次数: 0
Human Capital and Investment in Education 2019: The Issue of Wealth and Poverty and Its Solution 《2019年人力资本与教育投资:贫富问题及其解决方案》
ACTA VSFS Pub Date : 2020-04-01 DOI: 10.37355/acta-2020/1-06
R. Valenčík
{"title":"Human Capital and Investment in Education 2019: The Issue of Wealth and Poverty and Its Solution","authors":"R. Valenčík","doi":"10.37355/acta-2020/1-06","DOIUrl":"https://doi.org/10.37355/acta-2020/1-06","url":null,"abstract":"","PeriodicalId":30693,"journal":{"name":"ACTA VSFS","volume":"14 1","pages":"73-74"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69832638","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis Factors AffectingIndonesia Stock Market(Case Studies on Consumer Goods Index) 影响印尼股市的因素分析(以消费品指数为例)
ACTA VSFS Pub Date : 2020-04-01 DOI: 10.37355/acta-2020/1-01
Vietha Devia Sagita Sumantri
{"title":"Analysis Factors Affecting\u0000Indonesia Stock Market\u0000(Case Studies on Consumer Goods Index)","authors":"Vietha Devia Sagita Sumantri","doi":"10.37355/acta-2020/1-01","DOIUrl":"https://doi.org/10.37355/acta-2020/1-01","url":null,"abstract":"This study aims to examine the effect of exchange rate and inflation on the stock market. The exchange rate used is the Rupiah against the US Dollar and the Consumer Price Index as a measure of inflation. While the sector used as a stock market case study is the Consumer Goods Index Sector. The study period during 2010–2017. The method used multiple linear regression with R software. The classic assumption test results show the existence of autocorrelation problems, but can be correcting by the Cochrane-Orcutt method on Eviews after 8 model iterations. The results of multiple linear regression tests showed that the exchange rate has a significant negative effect, while inflation has no significant effect on the Consumer Goods Index.","PeriodicalId":30693,"journal":{"name":"ACTA VSFS","volume":"14 1","pages":"10-23"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69832670","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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