Publication at Faculty of Mathematics and Physics |
2014
Abstract
This year the PX index, the key price index of the Prague Stock Exchange, celebrated twenty years of its existence. The aim of this contribution is to analyse its historical daily closing quotes from an econometric perspective.
In greater detail, a particular class of state space models appropriate for this type of univariate financial time series is introduced. It simply combines a local level model and a linear ARMA process together with conditionally heteroscedastic disturbances.
The finally selected model is further examined and statistically verified.