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ANALYSIS OF THE LEVERAGE EFFECT – EVIDENCE FROM LJUBLJANA STOCK EXCHANGE (CROSBI ID 635046)

Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija

Arnerić, Josip ; Čižmešija, Mirjana ; Sorić, Petar ANALYSIS OF THE LEVERAGE EFFECT – EVIDENCE FROM LJUBLJANA STOCK EXCHANGE // Proceedings of the 13th International Symposium on Operational Research, Bled, Slovenia / Stirn, Zadnik L. ; Žerovnik J. ; Borštnar, Kljajić M. et al. (ur.). Ljubljana, 2015. str. 273-278

Podaci o odgovornosti

Arnerić, Josip ; Čižmešija, Mirjana ; Sorić, Petar

engleski

ANALYSIS OF THE LEVERAGE EFFECT – EVIDENCE FROM LJUBLJANA STOCK EXCHANGE

This paper studies GARCH models that can absorb the leverage effect, i.e. impacts of negative and positive shocks to conditional variance. Different functional forms of asymmetric GARCH models are analyzed on the daily Slovenian stock market index returns. The goal of this paper is to examine how different GARCH models reflect on asymmetric responses to bad and good news, i.e. different shapes of news impact curve (NIC) can be determined. The rotation of NIC is examined in the crisis and post-crisis period. The type of a GARCH model that fits data the best is chosen according to various information criteria.

news impact curve ; leverage effect ; asymmetric GARCH model ; rotation parameter ; SBI stock market index ; LR test

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Podaci o prilogu

273-278.

2015.

objavljeno

Podaci o matičnoj publikaciji

Proceedings of the 13th International Symposium on Operational Research, Bled, Slovenia

Stirn, Zadnik L. ; Žerovnik J. ; Borštnar, Kljajić M. ; Drobne S.

Ljubljana:

978-961-6165-45-7

Podaci o skupu

13th International Symposium on Operational Research

predavanje

23.09.2015-25.09.2015

Bled, Slovenija

Povezanost rada

Ekonomija