Volume : II, Issue : IX, September - 2013

Investigating Long–Term Volatility of Warsaw Stock Exchange Based on Garch Family Models

Ramona Bir U, Jatin Trivedi

Abstract :

This paper aims to investigate long–term volatility of Warsaw Stock Exchange based on GARCH family models, namely GARCH (1,1), EGARCH and GJR–GARCH models. Moreover, a sharp introspection regarding the particular behavior of emerging stock markets raised significant issues as a direct consequence of international portofolio diversification and financial globalization. Volatility is a highly heterogeneous concept which is extremely difficult to commensurate due to the influence of a very large range of both intrinsic and extrinsic factors. Empirical analysis provides additional insight regarding volatility patterns, similar reaction to external shocks, investor risk aversion, consequences of the inflow of new informations on the market, financial integration, risk management and negative impact of the global financial crisis.

Keywords :

Article: Download PDF   DOI : 10.36106/ijsr  

Cite This Article:

Ramona Bir?u, Jatin Trivedi Investigating Long-Term Volatility of Warsaw Stock Exchange Based on Garch Family Models International Journal of Scientific Research, Vol : 2, Issue : 9 September 2013

Number of Downloads : 842

References :