Volatility and Skewness Spillover Effects: Multiresolution Analysis
Thesis title in Czech: | Míra Přelévání Volatility a Šikmosti: Multirozkladová analýza |
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Thesis title in English: | Volatility and Skewness Spillover Effects: Multiresolution Analysis |
Key words: | Volatilita, Šikmost, Přelévání, Waveletová analýza |
English key words: | Volatility , Skewness, Spillovers, Wavelet analysis |
Academic year of topic announcement: | 2019/2020 |
Thesis type: | diploma thesis |
Thesis language: | angličtina |
Department: | Institute of Economic Studies (23-IES) |
Supervisor: | Mgr. Lukáš Vácha, Ph.D. |
Author: | hidden![]() |
Date of registration: | 18.10.2019 |
Date of assignment: | 18.10.2019 |
Confirmed by Study dept. on: | 18.10.2019 |
Date and time of defence: | 05.02.2020 09:00 |
Venue of defence: | Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206 |
Date of electronic submission: | 08.01.2020 |
Date of proceeded defence: | 05.02.2020 |
Opponents: | doc. PhDr. Jozef Baruník, Ph.D. |
URKUND check: | ![]() |
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Preliminary scope of work |
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. |
Preliminary scope of work in English |
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. |