Abstract: The paper evaluates several hundred one-day-ahead
VaR forecasting models in the time period between the years 2004
and 2009 on data from six world stock indices - DJI, GSPC, IXIC,
FTSE, GDAXI and N225. The models model mean using the ARMA
processes with up to two lags and variance with one of GARCH,
EGARCH or TARCH processes with up to two lags. The models are
estimated on the data from the in-sample period and their forecasting
accuracy is evaluated on the out-of-sample data, which are more
volatile. The main aim of the paper is to test whether a model
estimated on data with lower volatility can be used in periods with
higher volatility. The evaluation is based on the conditional coverage
test and is performed on each stock index separately. The primary
result of the paper is that the volatility is best modelled using a
GARCH process and that an ARMA process pattern cannot be found
in analyzed time series.
Abstract: The impact assessment in its various forms has
recently become a very important part of policy-making and
legislation in many different countries. Regulatory impact assessment
(RIA) is yet another set of analytical methods deployed in the
legislation of the European Union, of many developed countries as
well as in many developing ones such as Mexico, Malaysia and
Philippines. The aim of this paper is to provide a theoretical
background for economic models in regulatory impact assessment
and an overview of their application especially on the financial
market in the Czech Republic. We found out an inadequate
application of these models, what makes room for further research in
this field.
Abstract: The objective of this article is to discuss the potential
of economic analysis as a tool for identification and evaluation of
corruption in legislative acts. We propose that corruption be
perceived as a risk variable within the legislative process. Therefore
we find it appropriate to employ risk analysis methods, used in
various fields of economics, for the evaluation of corruption in
legislation. Furthermore we propose the incorporation of these
methods into the so called corruption impact assessment (CIA), the
general framework for detection of corruption in legislative acts. The
applications of the risk analysis methods are demonstrated on
examples of implementation of proposed CIA in the Czech Republic.