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Patev Plamen, Kanaryan Nigokhos, Lyroudi Katerina
Modelling and Forecasting the Volatility of Thin Emerging Stock Markets : the Case of Bulgaria
Modelowanie i prognozowanie zmienności na wschodzących rynkach giełdowych : przypadek Bułgarii
Comparative Economic Research, 2009, vol. 12, nr 4, s. 47-60, rys., tab., bibliogr. 19 poz.
Wskaźniki giełdowe, Analiza ryzyka, Indeks giełdowy, Szacowanie ryzyka, Giełda papierów wartościowych
Stock market indices, Risk analysis, Stock market indexes, Risk estimating, Stock market
summ., streszcz.
Przedmiotem artykułu jest modelowanie i prognozowanie wskaźników giełdowych. Szczególna uwaga poświęcona jest analizie ryzyka na bułgarskiej giełdzie papierów wartościowych. Celem tej analizy jest opracowanie wiarygodnego modelu oceny i prognozowania ryzyka na bułgarskiej giełdzie papierów wartościowych. Przeprowadzone analizy wskazują, że indeks giełdowy SOFIX charakteryzuje się typowymi cechami: wysokim ryzykiem autokorelacji i nienormalnym rozczłonkowaniem. W celu oszacowania i oceny ryzyka giełdy w Bułgarii wykorzystano trzy modele: RiskMetrics, EWMA oraz zmodyfikowany model EWMA. Z analiz wynika, że dwa ostatnie modele dosyć dokładnie szacują ryzyko na bułgarskiej giełdzie papierów wartościowych. (abstrakt oryginalny)

Modern Portfolio Theory associates the stock market risk with the volatility of return. Volatility is measured by the variance of the returns' distribution. However, the investment community does not accept this measure, since it weights equally deviations of the average returns, whereas most investors determine the risk on the basis of small or negative returns. In the last few years the measure Value at Risk (VaR) has been established and adopted widely by practitioners. The issue of modelling and forecasting thin emerging stock markets' risk is still open. The subject of this present paper is the risk of the Bulgarian stock market. The aim of this research is to give the investment community a model for assessing and forecasting the Bulgarian stock market risk. The result of this research shows that the SOFIX index has basic characteristics that are observed in most of the emerging stock markets, namely: high risk, significant autocorrelation, non-normality and volatility clustering. Three models have been applied to assess and estimate the Bulgarian stock market risk: RiskMetrics, EWMA with t-distributed innovations and EWMA with GED distributed innovations. The results revealed that the EWMA with t-distributed innovations and the EWMA with GED distributed innovations evaluate the risk of the Bulgarian stock market adequately. (original abstract)
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