Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
We present an intraday volatility model for equally spaced data and apply it for the WIG Index- a broad market index of the Warsaw Stock Exchange. The current study is an application and extension of the model proposed by Engle and Sokalska [2010]. We decompose the conditional variance of intraday returns into components that have a natural interpretation and can be easily estimated. (original abstract)
Rocznik
Tom
Numer
Strony
139--144
Opis fizyczny
Twórcy
autor
- Queens College, CUNY
Bibliografia
- Andersen T.G., T. Bollerslev T. (1997) Intraday Periodicity and Volatility Persistence in Financial Markets, Journal of Empirical Finance, 4, 115-158.
- Andersen T.G., and Bollerslev T. (1998) DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer-Run Dependencies, Journal of Finance, 53, 219-265.
- Bollerslev T (1986) Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327.
- Engle R.F. (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica 50(4), 987-1007.
- Engle R.F. and M.E. Sokalska (2010), Forecasting Intraday Volatility in the US Equity Market. Multiplicative Component GARCH, forthcoming in Journal of Financial Econometrics.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171237379