Volatility as a Significant Resource of the Decision Making
Uncertainty in the Tourism and Hotel Management

D 2018

Volatility as a Significant Resource of the Decision Making Uncertainty in the Tourism and Hotel Management

JEŘÁBEK, Tomáš a V. KOZAK

Základní údaje

Originální název

Volatility as a Significant Resource of the Decision Making Uncertainty in the Tourism and Hotel Management

Autoři

JEŘÁBEK, Tomáš (203 Česká republika, garant, domácí) a V. KOZAK

Vydání

USA, INNOVATION MANAGEMENT AND EDUCATION EXCELLENCE THROUGH VISION 2020, VOLS I -XI, od s. 6113-6120, 8 s. 2018

Nakladatel

INT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Spojené státy

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Organizační jednotka

AMBIS vysoká škola, a.s.

ISBN

978-0-9998551-0-2

UT WoS

000444067203034

Klíčová slova anglicky

GARCH model; volatility; exchange rate; financial forecasts

Štítky

RIV_VŠOH

Změněno: 12. 4. 2023 22:05, Bc. Olga Puldová

Anotace

V originále

Modeling and forecasting volatility in recent years has received considerable attention of academics, investors, but also managers. The reason is that volatility is an important indicator of the level of uncertainty in financial markets. The aim of this study is the first detailed analysis of time series of income in foreign exchange rates EUR / CZK and then find the most suitable model and assess its predictive performance in predicting volatility analyzed revenues. For this purpose, use standard econometric models of apparatus, together with the conditional heteroskedasticity, namely GARCH model and its asymmetric variant GJR-GARCH with normal, Student's t-slanted and Student's t-distribution. Results evaluated GARCH (2,1) model as the best option for modeling the volatility observed returns.

Citovat

JEŘÁBEK, Tomáš a V. KOZAK. Volatility as a Significant Resource of the Decision Making Uncertainty in the Tourism and Hotel Management. Online. In Soliman, KS. INNOVATION MANAGEMENT AND EDUCATION EXCELLENCE THROUGH VISION 2020, VOLS I -XI. USA: INT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA, 2018, s. 6113-6120. ISBN 978-0-9998551-0-2.

@inproceedings{486639,
   author = {Jeřábek, Tomáš and Kozak, V.},
   address = {USA},
   booktitle = {INNOVATION MANAGEMENT AND EDUCATION EXCELLENCE THROUGH VISION 2020, VOLS I -XI},
   editor = {Soliman, KS.},
   keywords = {GARCH model; volatility; exchange rate; financial forecasts},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {USA},
   isbn = {978-0-9998551-0-2},
   pages = {6113-6120},
   publisher = {INT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA},
   title = {Volatility as a Significant Resource of the Decision Making Uncertainty in the Tourism and Hotel Management},
   year = {2018}
}

TY  - CONF
ID  - 486639
AU  - Jeřábek, Tomáš - Kozak, V.
PY  - 2018
TI  - Volatility as a Significant Resource of the Decision Making Uncertainty in the Tourism and Hotel Management
PB  - INT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA
CY  - USA
SN  - 9780999855102
KW  - GARCH model
KW  - volatility
KW  - exchange rate
KW  - financial forecasts
N2  - Modeling and forecasting volatility in recent years has received considerable attention of academics, investors, but also managers. The reason is that volatility is an important indicator of the level of uncertainty in financial markets. The aim of this study is the first detailed analysis of time series of income in foreign exchange rates EUR / CZK and then find the most suitable model and assess its predictive performance in predicting volatility analyzed revenues. For this purpose, use standard econometric models of apparatus, together with the conditional heteroskedasticity, namely GARCH model and its asymmetric variant GJR-GARCH with normal, Student's t-slanted and Student's t-distribution. Results evaluated GARCH (2,1) model as the best option for modeling the volatility observed returns.
ER  -

JEŘÁBEK, Tomáš a V. KOZAK. Volatility as a Significant Resource of the Decision Making Uncertainty in the Tourism and Hotel Management. Online. In Soliman, KS. \textit{INNOVATION MANAGEMENT AND EDUCATION EXCELLENCE THROUGH VISION 2020, VOLS I -XI}. USA: INT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA, 2018, s.~6113-6120. ISBN~978-0-9998551-0-2.

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