Comparison of Volatility Models of PX Index and FTSE 100 Index

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 is to choose a suitable volatility model for Prague PX Index and London FTSE 100. The path to the aim is via a stationarity analysis of tracked time series of closing values of the mentioned indexes, conditional heteroskedasticity and autocorrelation tests and an identification of probability distribution of the studied quantity. A profiling of asymmetric effects is also very important because they determine the linear or nonlinear character of the resulting model.