03481ntm a22005177i 4500 000727636 CZ-PrVSE 20260201122909.0 m d cr n|||||||||| 260201s2025 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Srp, Štěpán ISIS:154812 dis Efekty přelévání mezi trhy s lithiem a elektrickými vozidly : Srovnání přístupů GAS a GARCH eng Spillovers Between Lithium and Electric Vehicle Markets : GAS vs GARCH Approach Štěpán Srp 2025 ?? stran : digital, PDF soubor Vedoucí práce: Petra Tomanová Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2026 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2026 This thesis models the stock returns of electric vehicle (EV) manufacturers to investigate the dynamics between the EV market and the lithium market. We employ the Generalized Autoregressive Score (GAS) framework alongside the Exponential GARCH (EGARCH) model to test three specific research hypotheses. First, we test the hypothesis that there is a significant return spillover effect between the lithium and EV markets, while the volatility spillover effect remains insignificant. Using jump intensity estimates from an EGARCH-EARJI model as external regressors, our results support this hypothesis. They identify return spillovers from lithium producers to be significant, while volatility spillovers are found to be insignificant across all models. Second, we examine the hypothesis that the GAS model outperforms GARCH-type models in modeling EV returns. We find that while the GAS model does not outperform the EGARCH model in terms of AIC, it offers a more flexible framework with superior theoretical properties for handling time-varying parameters in financial time series. Third, we test whether the Fama-French 5-factor model improves the model fit compared to the 3-factor model. The additional two factors slightly improve the fit of both EGARCH and GAS models while showing the same results regarding the spillover effects. This further validates the results of the 3-factor models, as well as those of previously conducted studies. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas EGARCH Electric vehicles Lithium GAS model Volatility spillover Tomanová, Petra ISIS:85567 ths Holý, Vladimír ISIS:116093 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/92847/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/92847 Hlavní práce https://insis.vse.cz/zp/92847/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/92847/posudek/oponent/88909 Oponentura https://insis.vse.cz/zp/92847/podrobnosti dc:identifier NEPOSILAT VSKP vse92847 260129 92847