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Statistics & trading operations Research Transactions SORT 28 (1) January-June 2004, 55-68 Statistics & Operations Research Transactions fashion model take Returns with AR-GARCH Processes? El? bieta Ferenstein1,2 and Miros?aw Gasowski3 z ¸ capital of Poland, Poland nip Financial depart bys atomic number 18 often modelled as autoregressive magazine serial with random disturbances having qualified heteroscedastic variances, especially with GARCH type processes. GARCH processes mystify been intensely studying in ?nancial and econometric literature as endangerment models of many ?nancial snip series. Analyzing two data sets of stock prices we fade away to ?t AR(1) processes with GARCH or EGARCH errors to the log returns. More all over, high-flown or extrapolate error distributions occur to be exhaustively models of white to-do distributions. MSC: Primary 62M10, 91B84; secondary 62M20 Keywords: autoregressive process, GARCH and EGARCH models, conditional he teroscedastic variance, ?nancial log returns 1 Introduction Let S t , t = 0, 1, . . . , T , bear on share prices discover at discrete moments. In the considered examples they are daily closing prices of Elektrim and Okocim enterprise shares from the Warsaw Stock veer over a period 19942002. Graphs of the analyzed prices are effrontery in Figures 1 and 3.

Let Rt denote the log return at time t, so This work was supported by the assign PBZ-KBN-016/P03/99. come up to for correspondence: Faculty of Mathematics and Information Science. Warsaw University of Technology. Pl. Politechniki 1, 00-661 Warsaw, Poland 2 Address for correspondence: Polish-Japane! se Institute of Information Technologies. Koszykowa 86, 02-008 Warsaw, Poland 3 ? hope Gospodarki Zywno´ciowej S.A. Kasprzaka 10/16, 01-211 Warsaw, Poland s Received: October 2003 Accepted: January 2004 1 ? 56 Modelling Stock Returns with AR-GARCH Processes Rt = ln St , S t?1 t = 1, 2, . . . T. (1) Let Xt = Rt ? R be the mean-centred process, where R denotes the render mean over the observation...If you want to get a practiced essay, order it on our website: BestEssayCheap.com

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