Modeling the Behavior of Prague Stock Exchange Index (PX-50)

Martina Hornikova
Additional contact information
Martina Hornikova: Central European University

Econometrics from University Library of Munich, Germany

Abstract: This paper examines behavior of the Prague Stock-Exchange Index, PX-50, which includes 50 leading Czech companies. We will see that this index exhibits typical econometric properties of financial time series, in which case the estimation is usually made with the use of ARCH models. The data suggests that the best fitting model that should be used in our case is the GARCH(1,1) model.

Keywords: Czech; stock; exchange; PX-50; GARCH (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2003-04-22
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: Type of Document - ; pages: 11 ; figures: included
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0304/0304001.pdf (application/pdf)

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:wpa:wuwpem:0304001

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).