The Warsaw Stock Exchange Index Wig: Modelling and Forecasting

19 Pages Posted: 11 Nov 2005

See all articles by Piotr Wdowinski

Piotr Wdowinski

University of Lodz; Narodowy Bank Polski; CESifo (Center for Economic Studies and Ifo Institute for Economic Research)

Aneta Zglinska-Pietrzak

University of Lodz - Institute of Economics

Date Written: October 2005

Abstract

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as proposed by Fair and Shiller (1990), we have found that the NYSE market has relatively more power than European markets in explaining the WSE index WIG.

Keywords: Warsaw Stock Exchange, stock index, GARCH model, forecasting

JEL Classification: C2, C5, C6, G1

Suggested Citation

Wdowinski, Piotr and Zglinska-Pietrzak, Aneta, The Warsaw Stock Exchange Index Wig: Modelling and Forecasting (October 2005). CESifo Working Paper Series No. 1570. Available at SSRN: https://ssrn.com/abstract=845326

Piotr Wdowinski (Contact Author)

University of Lodz ( email )

Ulica Prezydenta Gabriela
Narutowicza 65 str.
Lodz, 90-131
Poland

Narodowy Bank Polski ( email )

ul. Świętokrzyska 11/21
Warsaw, 00-919
Poland

CESifo (Center for Economic Studies and Ifo Institute for Economic Research) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Aneta Zglinska-Pietrzak

University of Lodz - Institute of Economics ( email )

Narutowicza 65 str.
PL 90-131, Lodz
Poland

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