Testing the Arbitrage Pricing Model with a Factor Garch Model for the Polish Stock Market

Piotr Fiszeder ()

Chapter 1 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 11-24 from University of Lodz

Abstract: In Chapter 1 P. Fiszeder applies the Engle’s factor GARCH model to test the Arbitrage Pricing Theory for the sector portfolios of stocks from the Warsaw Stock Exchange (WSE). The most interesting is the application of the broad selection of financial factors (al-though only market returns appear to be significant) and the modifications of original two-stage estimation method with an asymmetric GARCH-M in the first stage, and with a multivariate GARCH structure in the second stage.

Keywords: Arbitrage pricing model; Factor Garch model; Polish stock market (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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