Use this url to cite publication: https://cris.mruni.eu/cris/handle/007/27785
Forecasting stock index volatility with GARCH model
Type of publication
Tezės kitame recenzuojamame leidinyje / Theses in other peer-reviewed publication (T1e)
Author(s)
| Author | Affiliation |
|---|---|
Vasiliauskaitė, Deimantė | |
Title
Forecasting stock index volatility with GARCH model
Date Issued
| Date |
|---|
2005 |
Extent
p. 1
Is part of
Progressive methods and tools of management and economics of companies. Brno, 2005. ISBN 8021430990.
Field of Science
Abstract (en)
This 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.
Type of document
type::text::conference output::conference proceedings::conference paper
ISBN (of the container)
8021430990
eLABa
3032030
Coverage Spatial
Čekija / Czechia (CZ)
Language
Anglų / English (en)
Bibliographic Details
0