Štolc, Zdeněk - In: Acta Oeconomica Pragensia 2011 (2011) 4, pp. 25-38
Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management …, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have … appeared. In this paper two models of the conditional heteroskedasticity - fractionally integrated GARCH (FIGARCH) and EWMA are …