Modeling and Forecasting the Volatility of Thin Emerging Stock Markets: The Case of Bulgaria

Plamen Patev () and Nigokhos Kanaryan ()
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Nigokhos Kanaryan: Tsenov Academy of Economics, Svishtov, Bulgaria

Chapter 10 in Forecasting Financial Markets. Theory and Applications, 2005, vol. 0, pp 135-146 from University of Lodz

Abstract: Chapter 10 examines the volatility of the Bulgarian stock market. It applies an exponentially weighted moving average model that allows for modeling and forecasting time-varying volatility. The finding is that the model might be applied in the stock market under insufficient number of observations.

Keywords: Volatility of the Bulgarian stock market; Exponentially weighted moving average model; modeling and forecasting time-varying volatility (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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Journal Article: Modelling and Forecasting the Volatility of Thin Emerging Stock Markets: the Case of Bulgaria (2009)
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