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- W2078341953 abstract "The aim of this paper is to examine different GARCH models with three different distributions in order to compare their forecasting power in terms of volatility existing in the returns of the Czech Stock Market and more specific in the PX index, for the period 08.01.2001-20.07.2012. We have employed GARCH, GJR-GARCH and EGARCH models against normal, student-t and generalized error distributions. Then, we have forecasted stock market volatility for the Czech Republic by its returns using the same models, GARCH, GJR-GARCH and EGARCH comparing their forecasting performance. The results show that return volatility can be characterized by significant persistence and asymmetric effects. We have estimated the corresponding variances for all models for the full sample period using static forecasts. After comparing the forecasting performance of all nine models it was found that the EGARCH model has the best forecasting performance compared to others." @default.
- W2078341953 created "2016-06-24" @default.
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- W2078341953 date "2014-12-11" @default.
- W2078341953 modified "2023-10-05" @default.
- W2078341953 title "Comparison of Forecasting Volatility in the Czech Republic Stock Market" @default.
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- W2078341953 doi "https://doi.org/10.11114/aef.v2i1.608" @default.
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