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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/19034
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| Title: | | The Warsaw Stock Exchange index WIG : modelling and forecasting  |
| Authors: | | Wdowiński, Piotr Zglinska-Pietrzak, Aneta |
| Issue Date: | | 2005 |
| Series/Report no.: | | CESifo working papers 1570 |
| Abstract: | | In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European markets in explaining the WSE index WIG. |
| Subjects: | | Warsaw Stock Exchange stock index GARCH model forecasting |
| JEL: | | C5 C2 G1 C6 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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