Estimating the Volatility of the Stock Index WIG20 with Weak-GARCH and Diffusion GARCH Models

• Autorzy: Małgorzata Doman
• Języki publikacji: EN

Abstrakty

EN

In the paper we investigate the dynamics of the stock index WIG20 volatility. We consider return series calculated in different frequencies. For each return series we estimate GARCH(1,1) model and, basing on its parameters, we calculate the corresponding diffusion GARCH model parameters. The question is whether the dynamics of the WIG20 is driven by some kind of diffusion GARCH process. We try to check it by calculating the diffusion GARCH parameters based on the GARCH(1,1) model fitted to the returns in different frequencies. Our results do not reject that presumption.(fragment of text)

Słowa kluczowe

EN

Stock market indexes; Warsaw Stock Exchange Index; Stochastic Volatility Processes; GARCH model

PL

Indeks giełdowy; Warszawski Indeks Giełdowy (WIG); Procesy zmienności stochastycznej; Model GARCH

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 49--57

Twórcy

autor

Małgorzata Doman

• Poznań University of Economics, Poland

Bibliografia

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