03090ntm a22005057i 4500 000699465 CZ-PrVSE 20230618075638.0 m d cr n|||||||||| 230618s2023 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Komarov, Vladimir ISIS:147707 dis Analýza volatility cen na trzích se zemním plynem a ropou eng Analysis of Price Volatility in Natural Gas and Crude Oil Markets / Vladimir Komarov 2023 ?? stran : digital, PDF soubor Vedoucí práce: Josef Arlt Bakalářská práce (Bc.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2023 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2023 The present study aims to examine the return volatility of futures market prices for natural gas and crude oil during the time period of 2010-2023. It provides a comprehensive overview of the global natural gas and crude oil markets, as well as the European Union markets, highlighting the factors that contribute to the high volatility observed in these markets, such as supply and demand issues, political instability, and governance influences. To achieve the objectives, three different types of GARCH models, namely classic GARCH, GJR-GARCH, and EGARCH models, are employed for analysis and prediction. The primary aim of employ- ing these models is to identify the best fit for the selected commodities using the maximum likelihood function and MSE statistic. The analysis indicates that the crude oil market is best fitted with a EGARCH model, while the GARCH model is the best fit for the natural gas market. Furthermore, the paper offers a brief introduction to risk management, and based on the best fitting models for each time series, the Value at Risk (VaR) statistic is calculated and estimated. Způsob přístupu: Internet statistické metody v ekonomii [obor bakal. práce] bakalářské práce fd132403 czenas bachelor's theses eczenas GARCH models natural gas price crude oil price volatility prediction Arlt, Josef, 1962- jo20000079968 ths Šimpach, Ondřej jo2013796555 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/83053/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/83053 Hlavní práce https://insis.vse.cz/zp/83053/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/83053/posudek/oponent/78551 Oponentura https://insis.vse.cz/zp/83053/podrobnosti dc:identifier NEPOSILAT VSKP vse83053 230613 83053