Forecasting stock index volatility with GARCH model

RinkinysMokslo publikacijos / Scientific publications
Publikacijos rūšisKnygos dalis / Part of the book
KalbaAnglų kalba / English
AntraštėForecasting stock index volatility with GARCH model
Autoriai
KnygojeProgressive Methods and Tools of Management and Economics of Companies . 2005
Reikšminiai žodžiai
LTGARCH; BALTIX indeksas; kintamumas; prognozavimas; N-GARCH; E-GARCH
ENGARCH; BALTIX index; volatility; forecasting; N-GARCH; E-GARCH
Santrauka / Anotacija

ENThis paper analyses the main principles of volatility in financial data. In practice it is very important to forecast asset return volatility for getting more profit from investments. There are various kinds of volatility models: constant and time-varying. For the detailed analysis of Baltic States stock market was chosen the BALTIX index. One of time-varying volatility models is GARCH. In this paper for detailed analysis was used five types of GARCH models.

ISBN80-214-3099-0
Mokslo sritisEkonomika / Economics
Nuoroda į įrašą https://www.lituanistika.lt/content/314
Atnaujinta2018-01-02 14:25:21
Metrika Peržiūros: 3