Institute of Information Theory and Automation

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Bibliography

Conference Paper (international conference)

Application of the GARCH - t model on stock returns in emerging capital markets

Vošvrda Miloslav, Žikeš Filip

: WEHIA 2003. 8th Annual Workshop on Economics with Heterogeneous Interacting Agents, p. 1-14

: Fritz Thyssen Stiftung, (Kiel 2003)

: WEHIA 2003 /8./, (Kiel, DE, 29.05.2003-31.05.2003)

: CEZ:AV0Z1075907

: GA402/01/0034, GA ČR, 287/2003/A-EK/FSV, GA UK

: efficient markets hypothesis, asset price behaviour

(eng): We will interested in the Student's t-distribution since it is fairly simple to implement in empirical applications. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is studied the GARCH-t model which also allows to us to learn more about the distribution properties of stock returns.

: 05D

: AH

2019-01-07 08:39