Testy stałości współczynników korelacji w wielorównaniowym modelu GARCH - analiza korelacji między indeksami giełdowymi: WIG, DJIA i Nasdaq Composite

• Autorzy: Piotr Fiszeder

Warianty tytułu

Tests for Constant Correlations in a Multivariate GARCH Models - Analysis of Correlations between Stock Indices: WIG, DJIA and Nasdaq Composite

• Języki publikacji: PL

Abstrakty

W artykule dokonano przeglądu i systematyzacji testów stałości współczynników korelacji w wielorównaniowych modelach GARCH. W części empirycznej pracy zbadano zależności pomiędzy tygodniowymi stopami zwrotu indeksów giełdowych: WIG, DJIA i Nasdaq Composite. Pokazano, że współczynniki korelacji pomiędzy badanymi indeksami nie są stałe w czasie. Najsilniejsze korelacje pomiędzy indeksem WIG a indeksami DJIA i Nasdaq występowały w okresach kryzysów finansowych, jednakże wzrost korelacji nie musi być związany ze wzrostem wariancji badanych procesów. W pracy przedstawiono również charakterystyczne różnice pomiędzy wariancją stóp zwrotu indeksu WIG a wariancjami stóp zwrotu indeksów DJIA i Nasdaq Composite.

EN

The paper discusses and systematizes tests for constant correlations in a multivariate GARCH models. In empirical part of the paper the analysis of correlations between stock indices: WIG, DJIA and Nasdaq Composite was conducted. It has been shown, that correlations between analysed indices are not constant. The strongests correlations occured during the financial crices, however the increase of correlations does not have to be connected with the increase of variances. The investigation revealed significant differences between variances of returns of analysed indices.

Słowa kluczowe

PL

Model GARCH; Modele ekonometryczne; Matematyka finansowa

EN

GARCH model; Econometric models; Financial mathematics

• Czasopismo: Przegląd Statystyczny
• Rocznik: 2003
• Tom: 50
• Numer: z. 2
• Strony: 53--71

Twórcy

autor

Piotr Fiszeder

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