- Author
- Rozkrut Dominik (Uniwersytet Szczeciński)
- Title
- Analiza zmienności indeksów giełdowych na rynkach zagranicznych
Volatility Analysis of Stock Exchange Indexes on Foreign Markets - Source
- Studia i Prace Wydziału Nauk Ekonomicznych i Zarządzania / Uniwersytet Szczeciński, 2008, nr 2, s. 219-226, rys., tab., bibliogr. 12 poz.
- Keyword
- Analiza szeregów czasowych, Indeks giełdowy, Zmienność
Time-series analysis, Stock market indexes, Variability - Note
- summ.
- Abstract
- Na podstawie procedury testowej zaproponowanej przez R.F. Engel'a i V.K. Ng'a (tzw. test EN) zbadano występowanie efektu asymetrii reakcji w szeregach stóp zwrotu indeksów z GPW w Warszawie. Celem tego testu jest wykrycie tak zwanego obciążenia znakiem (sign bias), obciążenie ujemnym znakiem (Negative sign bias) lub obciążenie dodatnim znakiem (positive sign bias).
It is sometimes necessary to distinguish between the impact of positive and negative shocks on the time varying conditional variance. In case of asymmetric impact, models that capture that effect should be used (for example: EGARCH, AGARCH, TGARCH, N-GARCH, GJR). Carrying tests proposed by Engle and Ng may be useful in deciding whether asymmetry is present and an asymmetric ARCH type model should be used. The proposed test procedure was used in searching for the asymmetries in indexes from international stock exchanges, and the results are presented in the paper. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Szczecin University Main Library - Bibliography
-
- Bollerslev T.: Generalized autoregressive conditional heteroskedasticity. "Journal of Econometrics" 1986, No 31.
- Engle R.F.: Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. "Econometrica" 1982, No 50.
- Engle R.F., Ng V.K.: Measuring and testing the impact of news on volatility. "Journal of Finance" 1993, Vol. 48.
- Glosten L.R., Jagannathan R., Runkle D.E.: On the relation between expected value and the volatility of the nominal excess return on stocks. "Journal of Finance" 1993, Vol. 48.
- Hagerud G.E.: Modelling nordic stock returns with asymmetric GARCH models. "Working Paper Series in Economics and Finance" 1997, No 164.
- Jajuga K., Jajuga T.: Inwestycje, instrumenty finansowe, ryzyko finansowe, inżynieria finansowa. PWN, Warszawa 2001.
- Nelson D.: Conditional heteroskedasticity in asset returns. A new approach. "Econometrica" 1990, No 59.
- Osińska M.: Ekonometria finansowa. PWE, Warszawa 2006.
- Pagan A.R., Schwert G.W.: Alternative models for conditional stock volatility, "Journal of Econometrics" 1990, No 45.
- Rozkrut D.: Testing the asymmetric effect in stock returns from Warsaw Stock Exchange. W: Econometrical and computational methods in finance and insurance. Red. P. Chrzan, Publisher of the K. Adamiecki University of Economics in Katowice, Katowice 2006.
- Tarczyński W.: Rynki kapitałowe. Metody ilościowe. Placet, Warszawa 2001.
- Zakoian J. M., Threshold heteroscedastic models. "Journal of Economic Dynamics and Control" 1994, No 18.
- Cited by
- ISSN
- 1899-2382
- Language
- pol
