Wybrane modele szeregów czasowych dla Spółek z indeksu SMI

• Authors: Gurgul Piotr , Kłęk Krzysztof

Title variants

EN

The Selected Time Series Models Applied to Companies from SMI Index

• Languages of publication: PL

Abstracts

PL

Zaprezentowano wyniki badań przeprowadzonych przez autorów nad przydatnością różnych najnowszych modeli giełdowych do opisu danych dla spółek wziętych z giełdy szwajcarskiej (z indeksami SMI). Omówiono modele GARCH oraz modele tej klasy uwzględniające asymetrię danych. Autorzy zauważają, że decydującym kryterium dopasowania modelu do danych giełdowych jest ich skośność czyli asymetria.

EN

The aim of the paper is to prove the use of some type of GARCH models in application to 18 companies listed in SMI which is the main index of Swiss Stock Exchange. The authors concentrate on seven extensions of the APARCH model formulated by Ding, Engle and Granger in 1993 and other GARCH type models. The APARCH model couples the flexibility of a varying with the asymmetry coefficient (to take the "leverage effect" into account). Based on the AIC and RMSE criterions goodness of fitting the authors established that the most frequently the T ARCH models has been indicated as the most suitable model for returns of Swiss companies (12 cases out of 18). The next positions in this ranking occupy EGARCH and GARCH models (in each case 3 models out of 18). These results underline importance of taking into account the asymmetry of the distribution of returns. (original abstract)

Keywords

PL

Szeregi czasowe; Analiza szeregów czasowych; Model GARCH; Indeks giełdowy

EN

Time-series; Time-series analysis; GARCH model; Stock market indexes

• Publisher: Wydawnictwo WSEI Kraków
• Journal: Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
• Year: 2009
• Issue: 5
• Pages: 51-65

Contributors

author

Gurgul Piotr

• Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie

author

Kłęk Krzysztof

• Wyższa Szkoła Ekonomii i Informatyki w Krakowie

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