| Title |
Lithuanian stock market analysis using a set of GARCH models |
| Authors |
Teresienė, Deimantė |
| DOI |
10.3846/1611-1699.2009.10.349-360 |
| Full Text |
|
| Is Part of |
Journal of business economics and management.. Vilnius : Technika. 2009, Vol. 10, No. 4, p. 349-360.. ISSN 1611-1699. eISSN 2029-4433 |
| Keywords [eng] |
GARCH models ; index ; leverage effect ; stock price ; volatility |
| Abstract [eng] |
This article analyses the main factors that infl uence stock price volatility. The author offers a three-stage system for explaning a set of stock price volatility factors. The main point is to pay attention to investor’s psychology as the main factor of price volatility. For practical analysis the returns of the OMXV index and stock prices of the Lithuanian stock market are taken and applied to a set of GARCH models. The main idea is to choose the best of the general autoregressive conditional heteroskedasticity models (GARCH) for OMXV index and all sectors. All models are ranged according to their ability to model stock price return. The main tendencies of the Lithuanian stock market are also analysed in this article by highlighting the leverage effect. |
| Published |
Vilnius : Technika |
| Type |
Journal article |
| Language |
English |
| Publication date |
2009 |
| CC license |
|
