- Tytuł:
- Modelling and Forecasting WIG20 Daily Returns
- Autorzy:
-
Amado, Cristina
Silvennoinen, Annastiina
Teräsvirta, Timo - Powiązania:
- https://bibliotekanauki.pl/articles/2076424.pdf
- Data publikacji:
- 2017
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
autoregressive conditional heteroskedasticity
forecasting volatility
modelling volatility
multiplicative time-varying GARCH
smooth transition - Opis:
- 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 heteroskedasticit
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2017, 3; 173-200
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł