Croatian Capital Market Volatility (CROSBI ID 522589)
Prilog sa skupa u zborniku | sažetak izlaganja sa skupa | međunarodna recenzija
Podaci o odgovornosti
Pivac, Snježana ; Jurun, Elza ; Arnerić, Josip
engleski
Croatian Capital Market Volatility
Many financial time series contain volatility which is time-varying. The most common measure of volatility as dispersion in a probability distribution is the standard deviation of a random variable. Total model parameters are estimated using GARCH (1, 1) process. Static and dynamic forecasting of standard deviation is done in and out of time horizon. Under influence of new information and environment changes (political, economic, social...) volatility on the Croatian capital market is confirmed with high persistence and relatively weak reaction in comparison to more developed capital markets.
capital market movements; volatility modeling; GARCH process; unconditional variance; forecasting of CROBEX return series
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Podaci o prilogu
220-220-x.
2006.
objavljeno
Podaci o matičnoj publikaciji
Podaci o skupu
21 st European Conference on Operational Research
predavanje
01.07.2006-08.07.2006
Reykjavík, Island