Short-Term Volatility at Zagreb Stock Exchange (CROSBI ID 523636)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Cota, Boris ; Erjavec, Nataša
engleski
Short-Term Volatility at Zagreb Stock Exchange
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.
volatility; GARCH model; Zagreb Stock Exchange; stock index
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Podaci o prilogu
2006.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of the 11th International Conference on Operational Research (KOI 2006)
Podaci o skupu
The 11th International Conference on Operational Research (KOI 2006), organised by the Croatian Operational Research Society (CRORS)
predavanje
27.09.2006-29.09.2006
Pula, Hrvatska