Publication details
Conference Paper (international conference)
Application of the GARCH - t model on stock returns in emerging capital markets
,
: 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