Aarhus Universitets segl

Modelling and forecasting WIG20 daily returns

Publikation: Working paper/Preprint Working paperForskning


  • rp17_29

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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.
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider31
StatusUdgivet - 4 sep. 2017
SerietitelCREATES Research Papers


  • Autoregressive conditional heteroskedasticity, forecasting volatility, modelling volatility, multiplicative time-varying GARCH, smooth transition

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