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We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991-30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the series. This period was not without its perils for the Hungarian economy. We check presence of long memory of the series with use of classification based on the Hurst index and fractional integration parameter estimates. We analyze sample ACF and PACF functions and fractional integration estimates also for squared returns of the index. Volatility of returns and squared returns increases towards the end of sample, in agreement with the fact of risk growth due to the global crisis. In last part of sample the series of returns was antipersistent, changing sign more often, and the series was more volatile. Graphs of spectrum for the series show different behavior of logarithmic returns (more volatile towards the end of sample) and similar for squared returns throughout the sample. (original abstract)
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25
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- Szkoła Główna Handlowa w Warszawie
Bibliografia
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- Jajuga, Krzysztof, Jajuga, Teresa (2002), Inwestycje. Instrumenty finansowe, ryzyko finansowe, inżynieria finansowa, (Investments. Financial Instruments, Financial Risk, Financial Engineering, in Polish), PWN Scientific Publishers, Warsaw.
- Lo, Andrew (1991), Long-term memory in stock market prices,. "Econometrica", 59, 1279-1313, reprinted in Robinson (2003).
- Magyar Nemzeti Bank, Report on Financial Stability, Budapest, several issues.
- Peters, Edgar E. (1997), Teoria chaosu a rynki kapitałowe, (Chaos theory and capital markets), WIG PRESS, Warsaw.
- Phillips, P.C.B.(1999), Unit Root Log Periodogram Regression, "Working Paper no 1244", Cowles Foundation for Research in Economics, Yale University, http://cowles.econ.yale.edu/P/cd/dy1244.pdf.
- Robinson, P.M. [ed.] (2003), Time series with long memory, Oxford University Press, Oxford.
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Bibliografia
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bwmeta1.element.ekon-element-000171231147