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Stochastic volatility and returns distributions of the Prague Stock Exchange Index

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F15%3A39899851" target="_blank" >RIV/00216275:25410/15:39899851 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Stochastic volatility and returns distributions of the Prague Stock Exchange Index

  • Original language description

    In this paper we focused on the daily log returns of investment in the Prague stock exchange index, PX-Index. Considering an investment trust that takes a "passive" investment strategy and invests its assets in a specified stock-market index - the PX Index. We analysed data from January 1st, 1995 to February 20th, 2014. A popular model for stock market returns is that the log investment returns are independent and identically distributed (i.i.d.) normal random variables. We focused on the daily log returns and analysed the distribution of these returns. By means of the well-known Jarque-Bera test we reject the i.i.d. normal hypothesis of daily log returns. We emphasize this by looking at the data using graphical techniques, such as histogram and Q-Q plot. We can see that the data has fatter left and right-hand tails than the normal distribution. Conclusions of our basic analysis are that the daily log returns are leptokurtic and heavy tailed. They are not i.i.d. and volatility varies o

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    IN - Informatics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    The 20th International Conference on Applied Mathematics (AMATH'15): proceedings

  • ISBN

    978-1-61804-354-2

  • ISSN

    2227-4588

  • e-ISSN

  • Number of pages

    8

  • Pages from-to

    22-29

  • Publisher name

    WSEAS Press

  • Place of publication

    Atény

  • Event location

    Budapesť

  • Event date

    Dec 12, 2015

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article