Intraday Volatility Modeling : the Example of the Warsaw Stock Exchange

• Autorzy: Magdalena Sokalska
• Języki publikacji: EN

Abstrakty

EN

We present an intraday volatility model for equally spaced data and apply it for the WIG Index- a broad market index of the Warsaw Stock Exchange. The current study is an application and extension of the model proposed by Engle and Sokalska [2010]. We decompose the conditional variance of intraday returns into components that have a natural interpretation and can be easily estimated. (original abstract)

Słowa kluczowe

EN

Variability; Warsaw Stock Exchange Index

PL

Zmienność; Warszawski Indeks Giełdowy (WIG)

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2010
• Tom: 11(XI)
• Numer: nr 1
• Strony: 139--144

Twórcy

autor

Magdalena Sokalska

• Queens College, CUNY

Bibliografia

• Andersen T.G., T. Bollerslev T. (1997) Intraday Periodicity and Volatility Persistence in Financial Markets, Journal of Empirical Finance, 4, 115-158.
• Andersen T.G., and Bollerslev T. (1998) DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer-Run Dependencies, Journal of Finance, 53, 219-265.
• Bollerslev T (1986) Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327.
• Engle R.F. (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica 50(4), 987-1007.
• Engle R.F. and M.E. Sokalska (2010), Forecasting Intraday Volatility in the US Equity Market. Multiplicative Component GARCH, forthcoming in Journal of Financial Econometrics.