Forecasting stock index volatility with GARCH model

LTReikšminiai žodžiai: GARCH; BALTIX indeksas; Kintamumas; Prognozavimas; N-GARCH; E-GARCH; GARCH; BALTIX index; Volatility; Forecasting; N-GARCH; E-GARCH.

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.