Naslov
Short-Term Volatility at Zagreb Stock Exchange

Autori
Cota, Boris ; Erjavec, Nataša ; Šantak, Zlatko

Izvornik
Ekonomska istraživanja - Economic research (1331-677X) 20 (2006), 1; 1-7

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
volatility; GARCH model; Zagreb Stock Exchange; stock index

Sažetak
The aim of this paper is modelling short term volatility at the main Croatian stock market, Zagreb Stock Exchange. We present GARCH models following the hypotheses that the volatility in a short-run depends on the volume of traded stocks and that the volatility of the Zagreb Stock Exchange (ZSE) main index CROBEX is influenced by the situation on the international financial markets ; NYSE Stock Exchange indices and European Stock indices. We have assessed an influence of the American DJIA and NASDAQ, as well as European DAX and FTSE indices on CROBEX. On the bases of the parameter estimates of the proposed GARCH type models, the objective is to investigate which market – American or European – has a stronger impact on CROBEX index.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA