Borovička, Adam - In: Acta Oeconomica Pragensia 2011 (2011) 2, pp. 66-88
The article deals with a typical phenomenon of financial time series - volatility. These time series usually embody … intermittent periods of relative "calm" and quite high variability. A volatility modelling of time series is made with the help of … special econometric volatility models which characterize the so-called conditional heteroskedasticity. The goal of this paper …
