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Determinants of Short-term Volatility at the Warsaw Stock Exchange: In-sample vs. Out-of-sample Forecasts from Factor and Predictive GARCH Models

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Author Info
Janusz Brzeszczynski
Aleksander Welfe

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Abstract

The paper presents factor and predictive GARCH(1,1) models of the Warsaw Stock Exchange (WSE) main index WIG. An approach where the mean equation of the GARCH model includes a deterministic part is applied. The models incorporate such explanatory variables as volume of trade and major international stock market indices. The paper exploits the direction quality measures that can be used as alternative measures to evaluate model goodness of fit. Finally, the in-sample versus the out-of-sample forecasts from the estimated models are compared and model forecasting performance is discussed.

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File URL: http://www.sml.hw.ac.uk/cert/wpa/2004/dp0408.pdf
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Publisher Info
Paper provided by Centre for Economic Reform and Transformation, Heriot Watt University in its series CERT Discussion Papers with number 0408.

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Date of creation: 2004
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Handle: RePEc:hwe:certdp:0408

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Related research
Keywords: stock market factor GARCH predictive GARCH in-sample vs. out-of sample forecasts direction quality measures emerging markets

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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