Stock price fluctuations and GARCH modelling of stock market indexes

Икономика и компютърни науки

关键词: GARCH modelling;    stock market indexes;    volatility;   

DOI  :  

来源: DOAJ

【 摘 要 】

The purpose of this paper is to show whether volatility clustering, as measured by the General autoregressive conditional heteroscedasticity - GARCH (1,1), can be explained by the information flow. The paper examines the stock indexes through several commonly used models: Zivot- Andrews unit root test, employed to test for the presence of structural breaks; the relationship between price and volume movements; passive investment strategy (profitability and risk of long-term investment); application of the GARCH model. The data source of the survey is provided by kaggle, containing information about stock indices for the period 01.01.1970 – 16.11.2018. All calculations are made using the statistical software R, version 3.3.4. (R Core Team, 2017). The results of the analysis point to the systematicity of the volatility study

【 授权许可】

Unknown