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2002 | 5 | 199--209
Tytuł artykułu

Univariate GARCH Models - Modelling Returns of Stocks and Indices Quoted on the WSE

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Języki publikacji
The aim of this paper is to examine the properties of conditional variances of returns for stocks and indices quoted on the Warsaw Stock Exchange. The plan of the paper is as follows: the basic GARCH models are described very shortly in section 2, empirical results for Polish stock returns are presented in section 3 and conclusions are given in section 4.(fragment of text)
Opis fizyczny
  • Nicolaus Copernicus University in Toruń, Poland
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