The Warsaw Stock Exchange Index WIG: Modelling and Forecasting

Piotr Wdowiński and Aneta Zglinska-Pietrzak

No 1570, CESifo Working Paper Series from CESifo

Abstract: In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European markets in explaining the WSE index WIG.

Keywords: Warsaw Stock Exchange; stock index; GARCH model; forecasting (search for similar items in EconPapers)
JEL-codes: C20 C50 C60 G10 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_1570

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