ANALYSIS OF THE LEVERAGE EFFECT – EVIDENCE FROM LJUBLJANA STOCK EXCHANGE (CROSBI ID 635046)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
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