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Recent analysis of the leverage effect for the main index on the Warsaw Stock Exchange

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dc.abstract.enIn this paper we examine four asymmetric GARCH type models and one (basic) symmetric GARCH model. In particular, the analysis is limited to GARCH(1,1). We analysed daily logarithmic returns of WIG (the main index of the Warsaw Stock Exchange). The aim of the analysis was to check whether there is a so-called “leverage effect” on the Warsaw Stock Exchange in the recent period (since the accession of the European Union). In particular, if volatility of returns from the index is differently affected by the changes of the index itself. We have found that the analysis weakly confirms the hypothesis of the existence of such an effect, but the results show that a continuation of the current research is still reasonable.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorDrachal, Krzysztof
dc.date.accessioned2024-01-25T18:48:04Z
dc.date.available2024-01-25T18:48:04Z
dc.date.issued2017
dc.description.financeNie dotyczy
dc.description.number4
dc.description.volume115
dc.identifier.issn1336-5711
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/117959
dc.identifier.weblinkhttp://www.derivat.sk/index.php?PageID=2738
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofFinancne Trhy
dc.relation.pagesID 2738
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.titleRecent analysis of the leverage effect for the main index on the Warsaw Stock Exchange
dc.typeJournalArticle
dspace.entity.typePublication