The Warsaw Stock Exchange Index WIG : Modeling and Forecasting

• Autorzy: Piotr Wdowiński , Aneta Zglińska-Pietrzak

Warianty tytułu

Modelowanie i prognozowanie indeksu WIG

• Języki publikacji: EN

Abstrakty

W artykule podjęliśmy próbę oceny wpływu indeksów rynku amerykańskiego DJIA i NASDAQ oraz indeksów rynku europejskiego DAX i FTSE na indeks WIG z giełdy w Warszawie. Do modelowania tego wpływu wykorzystaliśmy metodologię GARCH. Stosując metodologię łączenia prognoz oraz metodologię oceny jakości prognostycznej modeli ekonometrycznych, zaproponowane w pracy Fair i Shiller (1990), pokazaliśmy, że rynek NYSE ma względną przewagę nad rynkiem europejskim w wyjaśnieniu zmian indeksu WIG. (abstrakt oryginalny)

EN

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European market in explaining the WSE index WIG. (original abstract)

Słowa kluczowe

PL

Warszawski Indeks Giełdowy (WIG); Indeks giełdowy; Model GARCH; Modele ekonometryczne; Metody prognozowania

EN

Warsaw Stock Exchange Index; Stock market indexes; GARCH model; Econometric models; Forecasting methods

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2005
• Tom: 192 Issues in Modeling, Forecasting and Decision-making in Financial Markets
• Strony: 115-127

Twórcy

autor

Piotr Wdowiński

• University of Lodz, Poland

autor

Aneta Zglińska-Pietrzak

• University of Lodz, Poland

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