Department of Economics and Business Economics

Modelling and forecasting WIG20 daily returns

Publication: ResearchWorking paper

Documents

  • rp17_29

    Final published version, 805 KB, PDF-document

The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticity.
Original languageEnglish
Place of PublicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages31
StatePublished - 4 Sep 2017
SeriesCREATES Research Papers
Number2017-29

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 116688245