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 |
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| 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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