Comparison of Volatility Models of PX Index and FTSE 100 Index

Srovnání volatility akciových indexů PX a FTSE 100

Adam Borovička

Acta Oeconomica Pragensia, 2011, vol. 2011, issue 2, 66-88

Abstract: The article deals with a typical phenomenon of financial time series - volatility. These time series usually embody intermittent periods of relative "calm" and quite high variability. A volatility modelling of time series is made with the help of special econometric volatility models which characterize the so-called conditional heteroskedasticity. The goal of this paper is to choose a suitable volatility model for Prague PX Index and London FTSE 100. The path to the aim is via a stationarity analysis of tracked time series of closing values of the mentioned indexes, conditional heteroskedasticity and autocorrelation tests and an identification of probability distribution of the studied quantity. A profiling of asymmetric effects is also very important because they determine the linear or nonlinear character of the resulting model.

Keywords: volatility; conditional heteroskedasticity; EGARCH; GJR-GARCH; function NIC (search for similar items in EconPapers)
JEL-codes: C58 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.18267/j.aop.331

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