The Warsaw Stock Exchange Index WIG: Modeling and Forecasting

Piotr Wdowiński () and Aneta Zglińska-Pietrzak ()
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Piotr Wdowiński: University of Lodz, Poland
Aneta Zglińska-Pietrzak: University of Lodz, Poland

Chapter 7 in Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, 2005, vol. 192, pp 115-127 from University of Lodz

Abstract: In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European market in explaining the WSE index WIG.

Keywords: Warsaw Stock Exchange; Stock index; GARCH model; Forecasting (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2005:n:192:ch:07:foe

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