Modelling and forecasting volatility at Warsaw Stock Exchange: Application of ARCH models

Janusz Brzeszczyński

doi:10.1007/978-3-642-57497-9_21

Modelling and forecasting volatility at Warsaw Stock Exchange: Application of ARCH models

Janusz Brzeszczyński^*

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

The development of stock market in Poland and the level of its integration with other international markets, especially those existing in the EU, is strictly connected with the issue of market volatility. It is very often argued that the markets in the integrated economies are characterized by a similar behaviour, which means that they exhibit similar volatility patterns and respond to the same external shocks in a similar way.

Original language	English
Title of host publication	East European Transition and EU Enlargement
Subtitle of host publication	A Quantitative Approach
Editors	Wojciech W. Charemza, Krystyna Strzała
Place of Publication	Heidelberg
Publisher	Physica-Verlag
Pages	337-353
Number of pages	17
ISBN (Electronic)	9783642574979
ISBN (Print)	9783790815016
DOIs	https://doi.org/10.1007/978-3-642-57497-9_21
Publication status	Published - 2002
Externally published	Yes

Publication series

Name	Contributions to Economics
Publisher	Physica-Verlag
ISSN (Print)	1431-1933

Keywords

Stock Price
Stock Return
Trading Volume
Arch Model
Stock Market Price

Access to Document

10.1007/978-3-642-57497-9_21

Cite this

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title = "Modelling and forecasting volatility at Warsaw Stock Exchange: Application of ARCH models",

abstract = "The development of stock market in Poland and the level of its integration with other international markets, especially those existing in the EU, is strictly connected with the issue of market volatility. It is very often argued that the markets in the integrated economies are characterized by a similar behaviour, which means that they exhibit similar volatility patterns and respond to the same external shocks in a similar way.",

keywords = "Stock Price, Stock Return, Trading Volume, Arch Model, Stock Market Price",

author = "Janusz Brzeszczy{\'n}ski",

year = "2002",

doi = "10.1007/978-3-642-57497-9_21",

language = "English",

isbn = "9783790815016",

series = "Contributions to Economics",

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pages = "337--353",

editor = "Charemza, {Wojciech W.} and Krystyna Strza{\l}a",

booktitle = "East European Transition and EU Enlargement",

address = "Germany",

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Modelling and forecasting volatility at Warsaw Stock Exchange: Application of ARCH models. / Brzeszczyński, Janusz.
East European Transition and EU Enlargement: A Quantitative Approach. ed. / Wojciech W. Charemza; Krystyna Strzała. Heidelberg: Physica-Verlag, 2002. p. 337-353 (Contributions to Economics).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AB - The development of stock market in Poland and the level of its integration with other international markets, especially those existing in the EU, is strictly connected with the issue of market volatility. It is very often argued that the markets in the integrated economies are characterized by a similar behaviour, which means that they exhibit similar volatility patterns and respond to the same external shocks in a similar way.

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KW - Trading Volume

KW - Arch Model

KW - Stock Market Price

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Modelling and forecasting volatility at Warsaw Stock Exchange: Application of ARCH models

Abstract

Publication series

Keywords

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