Intraday volatility modeling: the example of the Warsaw Stock Exchange

• Authors: Magdalena Sokalska
• Languages of publication: EN

Abstracts

EN

We present an intraday volatility model for equally spaced data and apply it for the WIG Index- a broad market index of the Warsaw Stock Exchange. The current study is an application and extension of the model proposed by Engle and Sokalska [2010]. We decompose the conditional variance of intraday returns into components that have a natural interpretation and can be easily estimated.

Keywords

EN

Volatility; ARCH; Intra-day Returns.

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2010
• Volume: 11
• Issue: 1
• Pages: 139-144

Dates

published

2010

Contributors

author

Magdalena Sokalska

• Queens College, CUNY

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