Volatility and Skewness Spillover Effects: Multiresolution Analysis

• Název práce v češtině: Míra Přelévání Volatility a Šikmosti: Multirozkladová analýza
• Název v anglickém jazyce: Volatility and Skewness Spillover Effects: Multiresolution Analysis
• Klíčová slova: Volatilita, Šikmost, Přelévání, Waveletová analýza
• Klíčová slova anglicky: Volatility , Skewness, Spillovers, Wavelet analysis
• Akademický rok vypsání: 2019/2020
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: Mgr. Lukáš Vácha, Ph.D.
• Řešitel: skrytý - zadáno a potvrzeno stud. odd.
• Datum přihlášení: 18.10.2019
• Datum zadání: 18.10.2019
• Datum potvrzení stud. oddělením: 18.10.2019
• Datum a čas obhajoby: 05.02.2020 09:00
• Místo konání obhajoby: Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206
• Datum odevzdání elektronické podoby: 08.01.2020
• Datum proběhlé obhajoby: 05.02.2020
• Oponenti: doc. PhDr. Jozef Baruník, Ph.D.

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Předběžná náplň práce

Tato práce zkoumá míra přelévání volatility a šikmosti mezi sedmi světovými
akciovými indexy a WTI ropou za předpokladu existence heterogenních investorů.
Vzorek dat pokrývá období od ledna 1990 do června 2016. Otázky
řešené v práci jsou dvojí. Za prvé, pro obě veličiny – volatilitu i šikmost – se
testuje, zdali se míra přelévání liší v závislosti na délce investičních horizontů.
Za druhé je testováno, zdali má zahrnutí šikmosti do modelu vliv na odhad míry
přelévání volatility. Pro analýzu investičních horizontů je použita waveletová
transformace. Odhad podmíněných momentů byl proveden za pomocí modelu
GAS, schopného dynamizovat statické parametry zešikmeného Studentova
t rozdělení.
Empirické výsledky naznačují, že trhy nespojuje pouze přelévání volatility,
ale je přítomné i přelevání šikmosti. Důležitým zjištěním je, že zahrnutí šikmosti
do modelu nemá vliv na velikost trasmise volatility. Dále bylo zjištěno,
že velikost přelevání obou momentů závisí na investičním horizontu, kdy delší
investiční horizont je spojen se silnějším efektem. Výsledky zároveň potvrzují,
že finační krize v roce 2008 měla zásadní vliv na strukturu finančních trhů. Od
roku 2008 je prokazatelně silnější efekt přelévání jak v případě volatility, tak
šikmosti, a tento vztah platí i pro dílčí investiční horizonty.

Předběžná náplň práce v anglickém jazyce

The thesis investigates volatility and skewness spillover effects among seven
world stock indices and WTI oil under the assumption of the presence of heterogeneous
investors. The data sample covers the period from January 1990 to
July 2016. The questions addressed in the thesis are twofold: firstly, the dependency
of the spillover effect for both the moments—volatility and skewness—on
different investments horizons is tested. Further, it is measured whether the
inclusion of skewness into has an impact on the volatility spillovers. The decomposition
to the different investment horizons is performed by the wavelet
transformation. Conditional volatility and skewness were estimated by GAS
model, which is capable to dynamize static parameters from Skewed t distribution.
Empirical results suggest significant spillover effects from both volatility and
skewness. Another important result is that skewness has a non-significant impact
on the volatility spillover effects. Further, it has been found that spillover
effects for both the moments are time-scale dependent: the higher investment
horizons are associated with higher spillover effects. Additionally, our results
support the evidence of the significant impact of the financial crisis in 2008 on
the structure of markets. From 2008, there are stronger volatility and skewness
spillover effects on the aggregated returns as well as decomposed returns.