Modelling and Forecasting WIG20 Daily Returns

• Autorzy: Cristina Amado , Annastiina Silvennoinen , Timo Teräsvirta
• Języki publikacji: EN

Abstrakty

EN

The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticity. (original abstract)

Słowa kluczowe

PL

Model GARCH; Indeks giełdowy; Procesy zmienności stochastycznej

EN

GARCH model; Stock market indexes; Stochastic Volatility Processes

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2017
• Tom: 9
• Numer: nr 3
• Strony: 173-200

Twórcy

autor

Cristina Amado

• University of Minho, Braga, Portugalia; CREATES, Aarhus University

autor

Annastiina Silvennoinen

• School of Economics and Finance, Queensland University of Technology, Brisbane

autor

Timo Teräsvirta

• CREATES, Aarhus University; C.A.S.E., Humboldt-Universität zu Berlin

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