{"id":4889,"date":"2026-10-15T08:08:24","date_gmt":"2026-10-15T06:08:24","guid":{"rendered":"https:\/\/ssad.statistics.sk\/SSaD\/?p=4889"},"modified":"2026-10-15T11:12:54","modified_gmt":"2026-10-15T09:12:54","slug":"analyza-predikovatelnosti-poprednych-devizovych-kurzov-za-poslednych-20-rokov","status":"publish","type":"post","link":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/analyza-predikovatelnosti-poprednych-devizovych-kurzov-za-poslednych-20-rokov\/","title":{"rendered":"Anal\u00fdza predikovate\u013enosti popredn\u00fdch dev\u00edzov\u00fdch kurzov za posledn\u00fdch  20 rokov"},"content":{"rendered":"<p>Filip Stoklasa, Laura Caban, Daniela Majer\u010d\u00e1kov\u00e1, Fakulta matematiky, fyziky a informatiky, Univerzita Komensk\u00e9ho v Bratislave, Slovensk\u00e1 republika<br \/>\n\u013dudom\u00edr \u0160lahor, Fakulta managementu, Univerzita Komensk\u00e9ho v Bratislave, Slovensk\u00e1 republika<\/p>\n<p><!--more--><\/p>\n<p>Typ \u010dl\u00e1nku: vedeck\u00fd \u010dl\u00e1nok<br \/>\nStrany: 45 \u2013 61 <\/p>\n<h5>Abstrakt<\/h5>\n<p>Pr\u00edspevok sa zaober\u00e1 efekt\u00edvnos\u0165ou, dynamikou a predikovate\u013enos\u0165ou vybran\u00fdch dev\u00edzov\u00fdch kurzov prostredn\u00edctvom anal\u00fdzy Hurstovho exponentu. Cie\u013eom v\u00fdskumu je presk\u00fama\u0165 pr\u00edtomnos\u0165 a intenzitu dlhodobej \u010dasovej z\u00e1vislosti, zachyti\u0165 \u010dasov\u00e9 zmeny trhov\u00fdch re\u017eimov a analyzova\u0165 vz\u0165ah medzi Hurstov\u00fdm exponentom a realizovanou volatilitou \u0161tyroch menov\u00fdch p\u00e1rov \u2013 EUR\/USD, GBP\/USD, USD\/JPY a USD\/CHF. V\u00fdskum vych\u00e1dza z denn\u00fdch logaritmick\u00fdch v\u00fdnosov sledovan\u00fdch menov\u00fdch p\u00e1rov v obdob\u00ed rokov 2005 a\u017e 2026 a posudzuje, do akej miery je ich spr\u00e1vanie konzistentn\u00e9 s hypot\u00e9zou efekt\u00edvnych trhov. V\u00fdsledky glob\u00e1lnej R\/S (rescaled range) anal\u00fdzy nepreuk\u00e1zali pr\u00edtomnos\u0165 \u0161tatisticky v\u00fdznamnej dlhodobej pam\u00e4te ani pri jednom zo sledovan\u00fdch menov\u00fdch p\u00e1rov. K\u013azav\u00e9 odhady Hurstovho exponentu v\u0161ak pouk\u00e1zali na jeho v\u00fdrazn\u00fa \u010dasov\u00fa premenlivos\u0165 a striedanie perzistentn\u00fdch a antiperzistentn\u00fdch re\u017eimov. Anal\u00fdza vz\u0165ahu medzi Hurstov\u00fdm exponentom a realizovanou volatilitou z\u00e1rove\u0148 pouk\u00e1zala na preva\u017ene z\u00e1porn\u00fa z\u00e1vislos\u0165, pri\u010dom vy\u0161\u0161ia volatilita bola vo v\u00e4\u010d\u0161ine analyzovan\u00fdch pr\u00edpadov spojen\u00e1 s antiperzistentn\u00fdmi re\u017eimami. V\u00fdsledky tak nazna\u010duj\u00fa, \u017ee glob\u00e1lny odhad Hurstovho exponentu m\u00f4\u017ee zakr\u00fdva\u0165 v\u00fdznamn\u00fa \u010dasov\u00fa premenlivos\u0165 dynamiky dev\u00edzov\u00fdch trhov a \u017ee jeho k\u013azav\u00e9 odhady poskytuj\u00fa dopl\u0148uj\u00facu inform\u00e1ciu o meniacich sa trhov\u00fdch re\u017eimoch<\/p>\n<div>\n<p><span style=\"line-height: 2.1em; padding-left: 0px; color: #1e4e9d;\">\u010cl\u00e1nok na stiahnutie<\/span><br \/>\n<a class=\"download-pdf\" onclick=\"window.open('https:\/\/ssad.statistics.sk\/SSaD\/?dl_id=508','new','');return false\"  href=\"https:\/\/ssad.statistics.sk\/SSaD\/?dl_id=508\"><i class=\"far fa-file-pdf\"><\/i> PDF<\/a><span class='download-text'> (3,0 MB, 7 stiahnut\u00ed)<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Filip Stoklasa, Laura Caban, Daniela Majer\u010d\u00e1kov\u00e1, Fakulta matematiky, fyziky a informatiky, Univerzita Komensk\u00e9ho v Bratislave, Slovensk\u00e1 republika \u013dudom\u00edr \u0160lahor, Fakulta managementu, Univerzita Komensk\u00e9ho v Bratislave, Slovensk\u00e1 republika<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[2178],"tags":[2188,2186,2187,2189,2191,2192,2190,2193,2194],"class_list":["post-4889","post","type-post","status-publish","format-standard","hentry","category-4-2026-vedecke-clanky","tag-autor-daniela-majercakova","tag-autor-filip-stoklasa","tag-autor-laura-caban","tag-autor-lubomir-slahor","tag-devizove-trhy","tag-hurstov-exponent","tag-menove-pary","tag-r-s-analyza","tag-trhova-efektivnost"],"_links":{"self":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/4889","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/comments?post=4889"}],"version-history":[{"count":1,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/4889\/revisions"}],"predecessor-version":[{"id":4890,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/4889\/revisions\/4890"}],"wp:attachment":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/media?parent=4889"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/categories?post=4889"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/tags?post=4889"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}