Zastosowanie modeli GARCH w analizie krótkookresowych zależności pomiędzy Warszawską Giełdą Papierów Wartościowych a międzynarodowymi rynkami akcji

• Autorzy: Piotr Fiszeder
• Języki publikacji: PL

Abstrakty

W artykule zaprezentowano wybrane charakterystyczne własności finansowych szeregów czasowych. Przedstawiono proces GARCH i jego uogólnienia oraz sumaryczne wyniki badań dotyczących postaci warunkowej wariancji dla pojedynczych procesów. Praca zawiera analizę zależności pomiędzy WIG-iem a wybranymi światowymi indeksami giełdowymi.

Słowa kluczowe

PL

Model GARCH; Akcje; Transakcje giełdowe

EN

GARCH model; Shares; Stock exchange dealings

• Czasopismo: Przegląd Statystyczny
• Rocznik: 2001
• Tom: 48
• Numer: z. 3-4
• Strony: 345--364

Twórcy

autor

Piotr Fiszeder

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