Brzeszczynski, Janusz; Welfe, Aleksander - Centre for Economic Reform and Transformation, School … - 2004
The paper presents factor and predictive GARCH(1,1) models of the Warsaw Stock Exchange (WSE) main index WIG. An approach where the mean equation of the GARCH model includes a deterministic part is applied. The models incorporate such explanatory variables as volume of trade and major...
