Modeling the Behavior of Prague Stock Exchange Index (PX-50)

Martina Hornikova
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Martina Hornikova: Central European University

Econometrics from EconWPA

Abstract: This paper examines behavior of the Prague Stock-Exchange Index, PX-50, which includes 50 leading Czech companies. We will see that this index exhibits typical econometric properties of financial time series, in which case the estimation is usually made with the use of ARCH models. The data suggests that the best fitting model that should be used in our case is the GARCH(1,1) model.

Keywords: Czech; stock; exchange; PX-50; GARCH (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 2003-04-22
Note: Type of Document - ; pages: 11 ; figures: included
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0304001

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