Trešl, Jiří; Blatná, Dagmar - In: Acta Oeconomica Pragensia 2007 (2007) 1, pp. 114-120
In the study submitted, selected methods of financial time-series analysis are applied to daily returns of the most liquid stocks at Czech capital market. In most cases, symmetric GARCH(1,1) models are quite satisfactory. Further, ARFIMA models enabling to catch "long memory" of underlying...
