Application of the GARCH - t model on stock returns in emerging capital markets

0411073 - UTIA-B 20030060 RIV DE eng C - Conference Paper (international conference)
Vošvrda, Miloslav - Žikeš, Filip
Application of the GARCH - t model on stock returns in emerging capital markets.
Kiel: Fritz Thyssen Stiftung, 2003. In: WEHIA 2003. 8th Annual Workshop on Economics with Heterogeneous Interacting Agents., s. 1-14
[WEHIA 2003 /8./. Kiel (DE), 29.05.2003-31.05.2003]
R&D Projects: GA ČR GA402/01/0034
Grant - others:GA UK(CZ) 287/2003/A-EK/FSV
Institutional research plan: CEZ:AV0Z1075907
Keywords : efficient markets hypothesis * asset price behaviour
Subject RIV: AH - Economics

We will interested in the Student's t-distribution since it is fairly simple to implement in empirical applications. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is studied the GARCH-t model which also allows to us to learn more about the distribution properties of stock returns.
Permanent Link: http://hdl.handle.net/11104/0131160