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Comparison of Forecasting Volatility in the Czech Republic Stock Market

Author

Listed:
  • Eleftherios I. Thalassinos
  • Erginbay Ugurlu
  • Yusuf Muratoglu

Abstract

The aim of this paper is to examine different GARCH models with three different distributions in order to compare their forecasting power in terms of volatility existing in the returns of the Czech Stock Market and more specific in the PX index, for the period 08.01.2001-20.07.2012. We have employed GARCH, GJR-GARCH and EGARCH models against normal, student-t and generalized error distributions. Then, we have forecasted stock market volatility for the Czech Republic by its returns using the same models, GARCH, GJR-GARCH and EGARCH comparing their forecasting performance. The results show that return volatility can be characterized by significant persistence and asymmetric effects. We have estimated the corresponding variances for all models for the full sample period using static forecasts. After comparing the forecasting performance of all nine models it was found that the EGARCH model has the best forecasting performance compared to others. JEL classification: G15, G17

Suggested Citation

  • Eleftherios I. Thalassinos & Erginbay Ugurlu & Yusuf Muratoglu, 2015. "Comparison of Forecasting Volatility in the Czech Republic Stock Market," Applied Economics and Finance, Redfame publishing, vol. 2(1), pages 11-18, February.
  • Handle: RePEc:rfa:aefjnl:v:2:y:2015:i:1:p:11-18
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    Citations

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    Cited by:

    1. Erginbay UGURLU, 2014. "Forecasting Volatility: Evidence from the Bucharest Stock Exchange," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 302-310, December.
    2. Jerzy Rembeza & Kamila RadliƄska, 2020. "Price Linkages Between Tea Markets: A Case Study for Colombo, Kolkata and Mombasa Auctions," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 134-150.
    3. Didik Susilo & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2020. "Profitability Determinants of Manufacturing Firms in Indonesia," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 53-64.
    4. Nurlina & T. Muhyiddin & Kgs & M. Sobri & Yunisvita & Liliana & Muhammad Farhan, 2017. "Fertility, Urbanization and Underemployment," European Research Studies Journal, European Research Studies Journal, vol. 0(4B), pages 600-608.
    5. Ali Fayyaz Munir & Shahrin Saaid Shaharuddin & Mohd Edil Abd. Sukor, 2020. "Long-Term, Short-Term and Time-Varying Profitability of Reversals: The Role of Market State and Volatility," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 501-520.
    6. Sugiharso Safuan, 2017. "Exchange Rate Volatility and Export Volume: The Case of Indonesia and its Main Trading Partners," European Research Studies Journal, European Research Studies Journal, vol. 0(3A), pages 3-13.
    7. Dzeina Steinberga & Inta Millere, 2017. "Solvency Evaluation, Comparing Traditional Financial Situation Assessment Methods with Information from Cash Flow Statements, Using Data from Insolvent Companies in the Republic of Latvia," European Research Studies Journal, European Research Studies Journal, vol. 0(3A), pages 246-258.
    8. A. Kotishwar, 2020. "The Impact of Currency Fluctuations on Equity and Debt Market," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 392-406.
    9. Lukasz Zieba, 2021. "Some Selected Determinants of Stock Exchange Development: Evidence from Greece," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 4), pages 260-268.
    10. Alexander Mikhailovich Batkovskiy & Viktor Antonovich Nesterov & Olga Olegovna Reshetova & Elena Georgievna Semenova & Alena Vladimirovna Fomina, 2017. "Dynamic Model of Optimal Production Control in a Hysteretic Behaviour of Economic Agents," European Research Studies Journal, European Research Studies Journal, vol. 0(2A), pages 355-379.
    11. Ramona Rupeika-Apoga & Roberts Nedovis, 2015. "The Foreign Exchange Exposure of Non-Financial Companies in Eurozone: Myth or Reality?," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 54-66.
    12. Ryszard Kata & Malgorzata Wosiek, 2020. "Capital Mobility as a Reason for Credit Booms in the Eurozone," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 718-738.
    13. Winston Pontoh, 2016. "The Motives behind Dividend Policy," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 29-40.
    14. Andrey Nechaev & Oksana Antipina, 2016. "Analysis of the Impact of Taxation of Business Entities on the Innovative Development of the Country," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 71-83.
    15. Petr Mach, 2018. "VAT Rates and their Impact on Business and Tax Revenue," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 144-152.
    16. Dr Ireneusz Zuchowski, 2015. "Management Styles of Polish Managers," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 38-53.
    17. Natalya Aleksandrovna Rubtsova & Anna Vitalievna Baychik & Sergey Borisovich Nikonov & Natalia Vladimirovna Bakirova & Tatiana Valerievna Belenkova, 2017. "Structural Models of the Consumer Goods Industry in China, Turkey and Italy," European Research Studies Journal, European Research Studies Journal, vol. 0(4A), pages 632-650.
    18. Kirsneh Alemu Kebede, 2024. "The Effect of Availability of Foreign Exchange and Devaluation of BIRR on the Performance of Companies in Ethiopia (Instance of Sample Company)," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 99-117.

    More about this item

    Keywords

    GARCH models; stock market volatility; forecasting performance;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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