Zpět na vyhledávání

Bc. Filip Bobok

Bachelor's thesis

Volatilita na trzích s kryptoměnami

Volatility in cryptocurrency markets
Abstract:
The aim of this bachelor thesis is to predict the volatility of selected cryptocurrencies and then evaluate the predictive capabilities of the selected models. Using two types of HAR models, the day-ahead volatility is predicted for the cryptocurrencies Bitcoin, Ethereum, XRP, Litecoin and Bitcoin Cash. We find that the chosen log-log HAR models fail to capture the evolution of realized volatility …more
Abstract:
Cieľom tejto bakalárskej práce je predikcia volatility vybraných kryptomien a následné zhodnotenie predikčných schopností zvolených modelov. Pomocou dvoch typov HAR modelov je predikovaná volatilita nasledujúceho dňa pre kryptomeny Bitcoin, Ethereum, XRP, Litecoin a Bitcoin Cash. Zisťujeme, že zvolené log-log HAR modely nedokážu zachytiť vývoj realizovanej volatility úplne presne, pričom najväčšie …more
 

Keywords

kryptomeny blockchain volatilita realizovaná volatilita model HAR
 
Language used: Slovak
Date on which the thesis was submitted / produced: 29. 4. 2022
Identifier: https://is.muni.cz/th/npk7n/

Thesis defence

  • Date of defence: 16. 6. 2022
  • Supervisor: Ing. Martina Halousková
  • Reader: Ing. Tomáš Plíhal, Ph.D.

Citation record

Cite this text

Full text of thesis

Contents of on-line thesis archive
Published in Theses:
  • světu
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakulta
Složka Reference to the local database directory of the institution

Masaryk University

Faculty of Economics and Administration

Bachelor programme / field:
Finance / Finance

Theses on a related topic

List of theses with an identical keyword.
  • No theses on a related topic available.