PRIMJENA GARCH(1,1) MODELA ZA FINANCIJSKU PROCJENU VOLATILNOSTI DNEVNIH POVRATA – SLUČAJ BOSNE I HERCEGOVINE
APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA
Author(s): Irena PlaninićSubject(s): Economy, Financial Markets
Published by: Ekonomski fakultet, Sveučilište u Mostaru
Keywords: volatility; GARCH (1,1) model; financial market of Bosnia and Herzegovina;
Summary/Abstract: The paper investigates the volatility of two stock exchanges in Bosnia and Herzegovina, and the volatility of returns on SASX 10 and BIRS in the period from 2006 to 2021. The paper analyses the volatility of the index using the GARCH (1,1) model. The results show that volatility is present on both stock exchanges. The α coefficient shows a large value for the SASX 10 index, while the β coefficient is higher for the BIRS index. The data showed greater and longer-lasting stability and volatility on both stock exchanges.
Journal: Zbornik radova
- Issue Year: 2022
- Issue No: XXVIII
- Page Range: 149-169
- Page Count: 21
- Language: Croatian