The Warsaw Stock Exchange index WIG : modelling and forecasting

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European markets in explaining the WSE index WIG.

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Year of publication:	2005
Authors:	Wdowiński, Piotr ; Zglinska-Pietrzak, Aneta
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Aktienindex \| Börsenkurs \| Internationaler Preiszusammenhang \| Prognoseverfahren \| Schätzung \| Polen \| USA \| EU-Staaten \| Warsaw Stock Exchange \| stock index \| GARCH model \| forecasting

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Series:	CESifo Working Paper ; 1570
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	503703001 [GVK] hdl:10419/19034 [Handle]
Classification:	C5 - Econometric Modeling ; C2 - Econometric Methods: Single Equation Models ; G1 - General Financial Markets ; C6 - Mathematical Methods and Programming
Source:	EconStor

Persistent link: https://www.econbiz.de/10010277059