Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter

Vít Pošta ()
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Vít Pošta: University of Economics, Prague, http://www.vse.cz/index-en.php

Czech Journal of Economics and Finance (Finance a uver), 2008, vol. 58, issue 05-06, 248-260

Abstract: The paper builds on the martingale representation of the market efficiency hypothesis and, with the use of an E-GARCH model of the volatility of the PX and PX-GLOBAL daily returns, a state-space model is formulated. Using the Kalman filter, the time-varying dependency of the daily returns on their lagged values is estimated. The estimation of this parameter shows how quickly the Prague Stock Exchange, represented by its PX index and PX-GLOBAL index, has gradually moved toward the condition of weak efficiency.

Keywords: GARCH; Kalman filter; martingale; weak-efficiency (search for similar items in EconPapers)
JEL-codes: C22 D53 G14 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:58:y:2008:i:5-6:p:248-260

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