Modeling the Behavior of Prague Stock Exchange Index (PX-50)
This paper examines behavior of the Prague Stock-Exchange Index, PX-50, which includes 50 leading Czech companies. We will see that this index exhibits typical econometric properties of financial time series, in which case the estimation is usually made with the use of ARCH models. The data suggests that the best fitting model that should be used in our case is the GARCH(1,1) model.
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- S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
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