The Determinants of Stock Return Volatility on the Ukrainian Emerging Financial Market: a GARCH Approach

Jerzy Stelmach ()
Additional contact information
Jerzy Stelmach: Wroclaw University of Economics, Poland

Chapter 4 in Forecasting Financial Markets. Theory and Applications, 2005, vol. 0, pp 57-70 from University of Lodz

Abstract: Chapter 4 presents the relationship between the stock returns volatility and a number of macroeconomic variables, i.e. gross domestic product, money supply, inflation, exchange rate and discount rate, in the Ukrainian financial market. The GARCH approach with monthly macroeconomic variables in the variance equation is proposed. The study shows that there might be a significant influence of macroeconomic fundamentals on the volatility of stock market returns.

Keywords: Stock returns volatility; GARCH model; Ukrainian financial market (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2005:n:00:ch:04:mon

Access Statistics for this chapter

More chapters in FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making from University of Lodz Contact information at EDIRC.
Bibliographic data for series maintained by Piotr Wdowiński ().