Application of the GARCH - t model on stock returns in emerging capital markets.

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F03%3A16030060" target="_blank" >RIV/67985556:_____/03:16030060 - 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
Application of the GARCH - t model on stock returns in emerging capital markets.
Original language description
We will interested in the Student's t-distribution since it is fairly simple to implement in empirical applications. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is studied the GARCH-t model which also allows to us to learn more about the distribution properties of stock returns.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F01%2F0034" target="_blank" >GA402/01/0034: Generalized Models of Economic Decision-Making</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
WEHIA 2003. 8th Annual Workshop on Economics with Heterogeneous Interacting Agents.
ISBN
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ISSN
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e-ISSN
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Number of pages
14
Pages from-to
1-14
Publisher name
Fritz Thyssen Stiftung
Place of publication
Kiel
Event location
Kiel [DE]
Event date
May 29, 2003
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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