A stock market came through a significant development in the Czech Republic; from its artificial beginning, through a fierce decline in listed companies, to a gradual rise in the market capitalization, which was suddenly turned off by a global financial crisis in 2008. The diploma thesis concentrate on a volatility analysis of a stock market in the Czech Republic in years 1994- 2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan. The most important and influential events concerning world markets and also a development of Prague Stock Exchange are included in the analysis. Econometric tools includes GARCH model and its most popular derivatives and generalisations i.e. IGARCH, EGARCH and APARCH processes. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class models estimations, a forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on the DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. It is furthermore supported by the Granger causality..
