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Modelling the Risk at the Central European Stock Exchange at times of Crisis

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  • Nigohos Kanaryan

Abstract

The present study represents a model of risk at the Central European Stock Exchange, measured as the yield dispersion of the CESI index. The period under analysis – 30 June 1995 – 31 May 2002 is divided into three subperiods – precrisis, crisis and postcrisis. The main characteristics of the market are identified and those are found to be the same for the group of developing stock exchanges. The observed high levels of the excess coefficient and accumulated volatility represent the time changing nature of risk. That in its turn allows us to model it using the GARCH model approach. From the 17 GARCH models presented, the asymmetric models, which presuppose probabilistic dispersion of errors that is different from the norm, feature the highest risk projection capability.

Suggested Citation

  • Nigohos Kanaryan, 2004. "Modelling the Risk at the Central European Stock Exchange at times of Crisis," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 70-83.
  • Handle: RePEc:bas:econth:y:2004:i:3:p:70-83
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    References listed on IDEAS

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    1. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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