Pregled bibliografske jedinice broj: 276977
Short-Term Volatility at Zagreb Stock Exchange
Short-Term Volatility at Zagreb Stock Exchange // Proceedings of the 11th International Conference on Operational Research (KOI 2006)
Pula, Hrvatska, 2006. (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 276977 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Short-Term Volatility at Zagreb Stock Exchange
Autori
Cota, Boris ; Erjavec, Nataša
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the 11th International Conference on Operational Research (KOI 2006)
/ - , 2006
Skup
The 11th International Conference on Operational Research (KOI 2006), organised by the Croatian Operational Research Society (CRORS)
Mjesto i datum
Pula, Hrvatska, 27.09.2006. - 29.09.2006
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
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
