IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082798" target="_blank" >RIV/61989100:27510/12:86082798 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
IMPACT OF THE GLOBAL FINANCIAL CRISIS ON STOCK MARKET VOLATILITY: EVIDENCE FROM CENTRAL EUROPEAN STOCK MARKET
Original language description
Volatility measuring is an important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. This paper deals with the impact of the global financial crisis on Central European stock market volatility represented by the Czech and Polish stock markets. Therefore, fluctuations and volatility in these markets before, during and after the crisis were analyzed. This paper tries to identify the length of the global financial crisis, estimate the potential risk in the stock market during financial turmoil and analyze the characteristics of the risk. For a comprehensive analysis, several sophisticated models of quantitative financial analysis were adopted. We especially worked with Jump-Diffusion GARCHmodel considering heteroskedasticity which allow greater accuracy than simple GARCH type volatility models.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
787-792
Publisher name
Slezská univerzita v Opavě
Place of publication
Opava
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000316715900135

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