Stock price fluctuations and GARCH modelling of stock market indexes

Bistra Radeva ()
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Bistra Radeva: University of Economics, Varna, Bulgaria

Economics and computer science, 2019, issue 3, 6-19

Abstract: The purpose of this paper is to show whether volatility clustering, as measured by the General autoregressive conditional heteroscedasticity - GARCH (1,1), can be explained by the information flow. The paper examines the stock indexes through several commonly used models: Zivot- Andrews unit root test, employed to test for the presence of structural breaks; the relationship between price and volume movements; passive investment strategy (profitability and risk of long-term investment); application of the GARCH model. The data source of the survey is provided by kaggle, containing information about stock indices for the period 01.01.1970 – 16.11.2018. All calculations are made using the statistical software R, version 3.3.4. (R Core Team, 2017). The results of the analysis point to the systematicity of the volatility study.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:kab:journl:y:2019:i:3:p:6-19

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