Statistical properties of the liquidity and its influence on the volatility prediction
| Thesis title in Czech: | Statistical properties of the liquidity and its influence on the volatility prediction |
|---|---|
| Thesis title in English: | Statistical properties of the liquidity and its influence on the volatility prediction |
| Key words: | likvidita, riziko, volatilita, očekáváný výnos, magický trojúhelník, cenový skok, realizovaná variance, bi-power variance, 3SLS, logit, vysokofrekvenční data, S&P 100 |
| English key words: | liquidity measures, liquidity dynamics, magical triangle, volatility prediction, price jumps, high-frequency data, realized variance, quadratic variation, bi-power variation |
| Academic year of topic announcement: | 2013/2014 |
| Thesis type: | diploma thesis |
| Thesis language: | angličtina |
| Department: | Institute of Economic Studies (23-IES) |
| Supervisor: | prof. PhDr. Ladislav Krištoufek, Ph.D. |
| Author: | hidden - assigned by the advisor |
| Date of registration: | 14.02.2014 |
| Date of assignment: | 14.02.2014 |
| Date and time of defence: | 23.06.2016 09:00 |
| Venue of defence: | IES |
| Date of electronic submission: | 14.05.2016 |
| Date of proceeded defence: | 23.06.2016 |
| Opponents: | Martin Burda, Ph.D. |
| URKUND check: | |
| Preliminary scope of work in English |
| During the last 40 years econometric literature has offered many views on the issues concerning the measuring of the volatility (risk), volatility modelling and volatility prediction. However there is a hole in research, which would elaborate on statistical properties of the liquidity, liquidity’s dynamics and its influence on the volatility prediction. Besides volatility is further influencing returns of the assets, as it is well established empirically (higher returns are significantly correlated with higher risk). Thus if liquidity’s dynamics would be properly described, it could be rather easy to understand correctly the transmission mechanism of the whole “magical triangle“, i.e. relation between liquidity, return and risk.
Volatility in financial markets is essential for asset pricing. Recent studies show that discontinuous price jumps are indeed important and have a significant impact on volatility and thus also on asset pricing etc. In this thesis we are going to examine whether liquidity has the influence on the price jumps. We will be using the high-frequency data. For the purposes of monetary policy, appropriate supervisory review of the banks and lowering the effect of a major liquidity shock, precise estimates of the future (il)liquidity are of principal importance. For instance, illiquidity, rather than poor asset quality, is the immediate cause of most bank failures. Recently the topic has attracted a lot of attention of economists and e.g. Basel III introduces two liquidity standards, which should be implemented until 2018. |