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The Warsaw Stock Exchange Index WIG: Modelling and Forecasting

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Author Info
Piotr Wdowinski ()
Aneta Zglinska-Pietrzak ()
Abstract

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European markets in explaining the WSE index WIG.

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Paper provided by CESifo GmbH in its series CESifo Working Paper Series with number CESifo Working Paper No. 1570.

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Date of creation: 2005
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Handle: RePEc:ces:ceswps:_1570

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Related research
Keywords: Warsaw Stock Exchange stock index GARCH model forecasting

Find related papers by JEL classification:
C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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  1. Monica Billio, Domenico Sartore, Carlo Toffano, 2000. "Combining forecasts: some results on exchange and interest rates," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 126-145, June. [Downloadable!] (restricted)
  2. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September. [Downloadable!] (restricted)
  3. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471. [Downloadable!] (restricted)
  4. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December. [Downloadable!] (restricted)
  5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  6. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September. [Downloadable!] (restricted)
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