Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19034
Authors: 
Wdowiński, Piotr
Zglinska-Pietrzak, Aneta
Year of Publication: 
2005
Series/Report no.: 
CESifo Working Paper 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

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