Stochastic volatility and returns distributions of the Prague Stock Exchange Index

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Stochastic volatility and returns distributions of the Prague Stock Exchange Index

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Stochastic volatility and returns distributions of the Prague Stock Exchange Index

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

IN - Informatika

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

ISBN

978-1-61804-354-2

ISSN

2227-4588

e-ISSN

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Počet stran výsledku

8

Strana od-do

22-29

Název nakladatele

WSEAS Press

Místo vydání

Atény

Místo konání akce

Budapesť

Datum konání akce

12. 12. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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