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An empirical analysis on volatility: Evidence for the Budapest stock exchange using Garch model

Ngo Thai, Hung (2017) An empirical analysis on volatility: Evidence for the Budapest stock exchange using Garch model. Journal of Development and Integration, 35-36 (07-08). pp. 269-275.

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Abstract

The paper aims to analyze and forecast the Budapest Stock Exchange volatility with the use of generalized autoregressive conditional heteroscedasticity GARCH- type models over the time period from September 06, 2010 to March 03, 2017. This model is the extension of ARCH process with various features to explain the obvious characteristics of financial time series such as asymmetric and leverage effect. As we apply the Budapest Stock Exchange with this model, the estimation and forecast in short term are performed.

Item Type:Article
Uncontrolled Keywords:volatility, GARCH, BUX, volatility forecast
Subjects:Finance
ID Code:3361
Deposited By: MTMT SWORD
Deposited On:01 Mar 2018 11:21
Last Modified:01 Mar 2018 11:21

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