ARCH Effect in Classical Market-Timing Models with Lagged Market Variable : the Case of Polish Market

• Autorzy: Joanna Olbryś

Warianty tytułu

Efekt ARCH w klasycznych modelach market-timing z opóźnioną zmienną rynkową : przypadek rynku polskiego

• Języki publikacji: EN

Abstrakty

EN

The main goal of this study is to present the regressions of the GARCH versions of classical market-timing models of Polish equity funds. We examine the models with lagged values of the market factor as an additional variable because of the Fisher's effect1 in the case of the main Warsaw Stock Exchange indexes. The market-timing and selectivity abilities of fund managers are evaluated for the period Jan 2003 - June 2011. Results on both the HAC and the GARCH estimates are qualitatively similar, and even better in the case of the simpler HAC method. For this reason, it is not necessary to estimate the GARCH versions of market-timing models in the case of Polish mutual funds, even despite the strong ARCH effects that exist in these models. (original abstract)

W artykule przedstawiono badania dokumentujące występowanie efektu ARCH w klasycznych modelach market-timing z opóźnioną zmienną rynkową w przypadku polskich funduszy akcji, w okresie styczeń 2003-czerwiec 2011. Dokonano estymacji wersji GARCH odpowiednich modeli oraz porównano jakość modeli GARCH i modeli uzyskanych metodą HAC. Wyniki wskazują, że modele GARCH są odpowiednie, ale metoda HAC jest wystarczająca, pomimo występowania efektu ARCH. Podano również interpretacje parametrów otrzymanych modeli w badanej grupie funduszy. (abstrakt oryginalny)

Słowa kluczowe

EN

GARCH model; Equity market; Financial markets; Econometric models; Market-timing

PL

Model GARCH; Rynek akcji; Rynki finansowe; Modele ekonometryczne; Wyczucie rynku

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2011
• Tom: 11
• Strony: 185--202

Twórcy

autor

Joanna Olbryś

• Bialystok University of Technology, Poland

Bibliografia

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Identyfikatory

DOI

10.12775/DEM.2011.013