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Pregled bibliografske jedinice broj: 678564

Forecasting volatility between two regime states : the case of Central and East European countries


Visković, Josip; Arnerić, Josip
Forecasting volatility between two regime states : the case of Central and East European countries // Istanbul International conference on business and economics
Istanbul, Turska; İzmir, Turska, 2013. (predavanje, međunarodna recenzija, neobjavljeni rad, znanstveni)


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Naslov
Forecasting volatility between two regime states : the case of Central and East European countries

Autori
Visković, Josip ; Arnerić, Josip

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
Istanbul International conference on business and economics

Mjesto i datum
Istanbul, Turska; İzmir, Turska, 02.08.2013. - 03.08.2013

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Markov switching GARCH model; transition probabilities; financial crisis; central and east European countries

Sažetak
This paper compares GARCH models in terms of their ability to describe structural changes in returns caused by financial crisis at stock markets Croatia, Czech Republic, Hungary, Slovenia, Romania and Bulgaria. Fat-tailed conditional distribution of innovations is assumed. Moreover, state dependent degrees of freedom are assumed to model possible time varying kurtosis. The empirical analysis demonstrates that Markov regime switching GARCH model resolves the problem of excessive persistence and outperforms uni-regime GARCH models in forecasting volatility when sudden switching occurs in response to financial crisis. The results are compared between selected central and east European countries trying to answer the following questions: how long it takes for shocks in volatility to die out, is the unconditional variance overestimated due to crisis, is there a difference in the persistence between regimes of low and high volatility, what is the mean reverting period of volatility in a pre-crisis and crisis regime.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekti:
055-0000000-0861 - Financijska politika i financijsko-ekonomski okvir podrške SME (Vidučić, Ljiljana, MZOS ) ( CroRIS)
055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( CroRIS)

Ustanove:
Ekonomski fakultet, Split,
Ekonomski fakultet, Zagreb

Profili:

Avatar Url Josip Arnerić (autor)

Avatar Url Josip Visković (autor)


Citiraj ovu publikaciju:

Visković, Josip; Arnerić, Josip
Forecasting volatility between two regime states : the case of Central and East European countries // Istanbul International conference on business and economics
Istanbul, Turska; İzmir, Turska, 2013. (predavanje, međunarodna recenzija, neobjavljeni rad, znanstveni)
Visković, J. & Arnerić, J. (2013) Forecasting volatility between two regime states : the case of Central and East European countries. U: Istanbul International conference on business and economics.
@article{article, author = {Viskovi\'{c}, Josip and Arneri\'{c}, Josip}, year = {2013}, keywords = {Markov switching GARCH model, transition probabilities, financial crisis, central and east European countries}, title = {Forecasting volatility between two regime states : the case of Central and East European countries}, keyword = {Markov switching GARCH model, transition probabilities, financial crisis, central and east European countries}, publisherplace = {Istanbul, Turska; \.{I}zmir, Turska} }
@article{article, author = {Viskovi\'{c}, Josip and Arneri\'{c}, Josip}, year = {2013}, keywords = {Markov switching GARCH model, transition probabilities, financial crisis, central and east European countries}, title = {Forecasting volatility between two regime states : the case of Central and East European countries}, keyword = {Markov switching GARCH model, transition probabilities, financial crisis, central and east European countries}, publisherplace = {Istanbul, Turska; \.{I}zmir, Turska} }




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