Modelling the Risk at the Central European Stock Exchange at times of Crisis Cover Image
  • Price 3.00 €

Моделиране риска на централноевропейския фондов пазар по време на кризи
Modelling the Risk at the Central European Stock Exchange at times of Crisis

Author(s): Nigohos Kanaryan
Subject(s): Economy
Published by: Институт за икономически изследвания при Българска академия на науките

Summary/Abstract: The present study represents a model of risk at the Central European Stock Exchange, measured as the yield dispersion of the CESI index. The period under analysis – 30 June 1995 – 31 May 2002 is divided into three subperiods – precrisis, crisis and postcrisis. The main characteristics of the market are identified and those are found to be the same for the group of developing stock exchanges. The observed high levels of the excess coefficient and accumulated volatility represent the time changing nature of risk. That in its turn allows us to model it using the GARCH model approach. From the 17 GARCH models presented, the asymmetric models, which presuppose probabilistic dispersion of errors that is different from the norm, feature the highest risk projection capability.

  • Issue Year: 2004
  • Issue No: 3
  • Page Range: 70-83
  • Page Count: 14
  • Language: Bulgarian