Využití modelů vektorové autoregrese na českém kapitálovém trhu

This article deals with possibilities of the use of VAR models needed for analysis of the Czech capital market. The first part contains general VAR models and how to estimate parameters of the models. In the experimental part, there are two possibilities of the use of VAR models introduced - the model of capital markets in newly developed economies and the model of short-term capital market in the Czech Republic. In order to compare these models, a regressive model of short-term capital markets with the delay t=3 was estimated. The results of numerical analyses show that, in comparison to the classical regressive models, the use of VAR models in the Czech capital market will not bring any significant improvement of results.