Multifractal analysis of petrol and diesel prices in the Czech Republic
|Author:||Mgr. Martin Baletka|
|Year:||2013 - summer|
|Leaders:|| prof. PhDr. Ladislav Krištoufek Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||This thesis examines scaling properties of petrol and diesel prices in the Czech
Republic and a crude oil price over the period from January 2004 to February
2013. Using generalised Hurst exponent and multifractal detrended fluctuation
analysis techniques we find out that crude oil market is efficient, do not contain
long memory and the returns exhibit monofractal behaviour. On the other
hand, petrol and diesel markets in the Czech Republic are not efficient, because
their returns contain long-range dependence in autocorrelations and exhibit
multifractal behaviour caused mostly by fat-tailed distribution. Thus, fuels can
be modelled by complex methods like Markov switching multifractal model.