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The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis

Krzysztof Drachal
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Krzysztof Drachal: Warsaw University of Technology

Expert Journal of Economics, 2015, vol. 3, issue 2, 136-142

Abstract: The aim of this research is to analyze a short-term risk premium in Poland between 2005 and 2015. In particular one-day periods are considered. It is studies whether the same GARCH type model can be applied for the whole period, or whether the estimated parameters differ significantly for selected sub-periods.

Keywords: financial crisis; GARCH; risk premium; structural stability (search for similar items in EconPapers)
JEL-codes: C22 G12 G17 (search for similar items in EconPapers)
Date: 2015
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