Naslov
GM-GARCH model: application on the Croatian stock market

Autori
Škrinjarić, Tihana

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of FEB Zagreb 11th International Odyssey Conference on Economics and Business / Šimurina, Jurica ; Načinović Braje, Ivana ; Pavić, Ivana - Zagreb : Faculty of Economics and Business - Zagreb, 2020, 373-383

Skup
11th International Odyssey Conference on Economics and Business (FEB Zagreb)

Mjesto i datum
Zagreb, Hrvatska, 16.06.2020. - 20.06.2020

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Grey Systems Theory ; risk ; forecasting ; stock market

Sažetak
This research deals with an empirical comparison of the forecasting abilities of standard GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) and GM-GARCH (Grey Model) models. Although the standard GARCH models are probably the most popular approach in stock risk modelling and forecasting, there have been many different extensions over the years of those models. One possible direction is the Grey Systems Theory, which focuses on uncertain and grey data. Thus, it is very suitable for stock market applications. Based on daily data for the period 4 January 2017 – 5 May 2020 for the stock market index CROBEX, GARCH and GM-GARCH models are estimated and compared based on out-of- sample forecast capabilities. The results indicate that the GM based model is superior compared to its counterpart. That is why it is advisable to incorporate the models from Grey Systems Theory into the investment strategies which focus on hedging or minimising the portfolio risk

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA