Analiza zmienności indeksów branżowych GPW w warszawie przy zastosowaniu modelu GARCH BEKK
Analysis of volatility linkages among sector indices of Warsaw Stock Exchange by GARCH BEKK model

Summary/Abstract: The level of investment risk associated with financial instruments is measured by volatility of their returns. The studies of financial market confirm the dependence of variance of stock return from the changes on the company’s market as well as the situation on other markets. That is the main reason for conducting the analysis of linkages among the volatility of sector indices of Warsaw Stock Exchange by multivariate GARCH model. The estimation of parameters of BEKK model for sector indices enables the author to establish the mechanism of shock transmissions among economic sectors. The results of study confirm that the conditional variances and covariances among sector indices exhibit constant changes over time.

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