THE APPLICATION OF GARCH (1.1) MODEL  FOR MESEARING SHOCKS TRANSMISSION IN BOND MARKET

Renata Karkowska

doi:10.18778/0208-6018.314.07

Autor

Renata Karkowska Uniwersytet Warszawski

DOI:

https://doi.org/10.18778/0208-6018.314.07

Słowa kluczowe:

zmienność, rynek obligacji skarbowych, spread kredytowy, model GARCH

Abstrakt

Celem badania jest identyfikacja zmienności spreadu kredytowego obligacji w wybranych krajach europejskich, w czasie kryzysu finansów publicznych Grecji w latach 2010-2013 roku. W badaniu wykorzystano model GARCH (1.1). Szczególnym celem badania jest ustalenie: czy na rynku obligacji skarbowych mamy do czynienia z efektem zarażania? Analizę przeprowadzono w dwóch próbach: 1/ dla krajów Europy Środkowej i Wschodniej, reprezentowanej przez Czechy i Polskę, 2/ w krajach rozwiniętych - w Austrii i Francji.

Pobrania

Brak dostępnych danych do wyświetlenia.

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