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Modeling the Behavior of Prague Stock Exchange Index (PX-50)

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  • Martina Hornikova

    (Central European University)

Abstract

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.

Suggested Citation

  • Martina Hornikova, 2003. "Modeling the Behavior of Prague Stock Exchange Index (PX-50)," Econometrics 0304001, EconWPA.
  • Handle: RePEc:wpa:wuwpem:0304001
    Note: Type of Document - ; pages: 11 ; figures: included
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0304/0304001.pdf
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    References listed on IDEAS

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    1. S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
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    More about this item

    Keywords

    Czech stock exchange PX-50 GARCH;

    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

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    1. PX 50 in Wikipedia Polish ne '')

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