The paper presents GARCH models for the Euro-Polish zloty and US dollar-Polish zloty currency rates. It applies the approach within which both the conditional variance function and the mean equation of the ARCH class model are expanded simultaneously. The basic regression equation incorporates...

The paper presents factor and predictive GARCH(1,1) models of the Warsaw Stock Exchange (WSE) main index WIG. An approach where the mean equation of the GARCH model includes a deterministic part is applied. The models incorporate such explanatory variables as volume of trade and major...