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

• Autorzy: Piotr Fiszeder
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

GARCH model; Econometric modeling; Stock rate of returns; Warsaw Stock Exchange Index

PL

Model GARCH; Modelowanie ekonometryczne; Stopa zwrotu akcji; Warszawski Indeks Giełdowy (WIG)

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2002
• Tom: 5
• Strony: 199--209

Twórcy

autor

Piotr Fiszeder

• Nicolaus Copernicus University in Toruń, Poland

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