Modelling and Forecasting the Volatility of Thin Emerging Stock Markets: the Case of Bulgaria

Plamen Patev; Nigokhos Kanaryan; Katerina Lyroudi

doi:10.2478/v10103-009-0021-8

Autor

Plamen Patev
Nigokhos Kanaryan
Katerina Lyroudi

DOI:

https://doi.org/10.2478/v10103-009-0021-8

Abstrakt

Przedmiotem artykułu jest modelowanie i prognozowanie wskaźników giełdowych. Szczególna uwaga poświęcona jest analizie ryzyka na bułgarskiej giełdzie papierów wartościowych. Celem tej analizy jest opracowanie wiarygodnego modelu oceny i prognozowania ryzyka na bułgarskiej giełdzie papierów wartościowych. Przeprowadzone analizy wskazują, że indeks giełdowy SOFIX charakteryzuje się typowymi cechami: wysokim ryzykiem autokorelacji i nienormalnym rozczłonkowaniem. W celu oszacowania i oceny ryzyka giełdy w Bułgarii wykorzystano trzy modele: RiskMetrics, EWMA oraz zmodyfikowany model EWMA. Z analiz wynika, że dwa ostatnie modele dosyć dokładnie szacują ryzyko na bułgarskiej giełdzie papierów wartościowych.

Pobrania

Brak dostępnych danych do wyświetlenia.

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