Pregled bibliografske jedinice broj: 272108
Croatian Capital Market Volatility
Croatian Capital Market Volatility // EURO XXI 2006 / Grimsson Ragnar O. (ur.).
Reykjavík: EUOR, ICORS, 2006. str. 220-220 (predavanje, međunarodna recenzija, sažetak, znanstveni)
CROSBI ID: 272108 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Croatian Capital Market Volatility
Autori
Pivac, Snježana ; Jurun, Elza ; Arnerić, Josip
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni
Izvornik
EURO XXI 2006
/ Grimsson Ragnar O. - Reykjavík : EUOR, ICORS, 2006, 220-220
Skup
21st European Conference on Operational Research
Mjesto i datum
Reykjavík, Island, 02.07.2006. - 05.07.2006
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
capital market movements; volatility modeling; GARCH process; unconditional variance; forecasting of CROBEX return series
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
