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 proceedingConference contributionpeer-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 languageEnglish
Title of host publicationEast European Transition and EU Enlargement
Subtitle of host publicationA Quantitative Approach
EditorsWojciech W. Charemza, Krystyna Strzała
Place of PublicationHeidelberg
PublisherPhysica-Verlag
Pages337-353
Number of pages17
ISBN (Electronic)9783642574979
ISBN (Print)9783790815016
DOIs
Publication statusPublished - 2002
Externally publishedYes

Publication series

NameContributions to Economics
PublisherPhysica-Verlag
ISSN (Print)1431-1933

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