APPLICATION OF ARMA AND GARCH MODELS ON TIME SERIES OF KOMERČNÍ BANKA STOCKS

Autor: Markéta Sedláková
Rok vydání: 2020
Předmět:
Zdroj: DOKBAT 2020 - 16th International Bata Conference for Ph.D. Students and Young Researchers.
DOI: 10.7441/dokbat.2020.40
Popis: One of the main goals of entities in the securities market is to buy stocks cheaply at the right time (buy undervalued stocks) and also to sell stocks expensively at the right time (sell overvalued stocks). It is typical for undervalued stocks to be traded at a low price at some point due to their fundamental characteristics. In the future, undervalued stocks can be expected to rise in price, which can bring a capital gain to an investor who bought at a low price. Undervalued stocks are therefore recommended for purchase. An important prerequisite is therefore the accurate timing of buy and sell signals. The problem, however, is that no one knows exactly when the right time will come, because the market price of stocks is affected by many factors that have an impact on fluctuations in the market value of stocks. For this reason, volatility modeling is coming to the forefront of the interests of many financial analysts and investors.
Databáze: OpenAIRE