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:	Wdowinski, Piotr ; Zglinska-Pietrzak, Aneta
Institutions:	CESifo
Subject:	Warsaw Stock Exchange \| stock index \| GARCH model \| forecasting

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Extent:	application/pdf
Series:	CESifo Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1570
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C50 - Econometric Modeling. General ; C60 - Mathematical Methods and Programming. General ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005406048