Leverage effect on Warsaw Stock Exchange

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Published:
Oct 21, 2006
Issue
No. 60 (2006)
Section
Artykuły
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Paweł Kobus
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
https://orcid.org/0000-0003-2289-2305
Robert Pietrzykowski
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
https://orcid.org/0000-0002-6122-3043

DOI: https://doi.org/10.22630/EIOGZ.2006.60.38
Keywords : leverage effect, GARCH
Abstract
Models most frequently used for modelling asymmetrical impact of good and bad return news on volatility response are generalizations of GARCH namely: EGARCH, AGARCH and GRJ-GARCH. In this paper support for application of those models is considered in the case of Warsaw Stock Exchange. Researches are based on analysis daily return series of indexes: WIG, WIG 20, MIDWIG. Results indicate, that in contrast to developed markets there is very weak evidence supporting hypothesis of leverage effect. In the case of WIG and WIG 20 the leverage effect is insignificant and for MIDWIG weak comparing for example with DJIA, though significant

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How to Cite
Kobus, P., & Pietrzykowski, R. (2006). Leverage effect on Warsaw Stock Exchange. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (60), 169–177. https://doi.org/10.22630/EIOGZ.2006.60.38
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