Open AccessLITHUANIAN STOCK MARKET ANALYSIS USING A SET OF GARCH MODELS
Author(s) -
Deimantė Teresienė
Publication year - 2009
Publication title -
journal of business economics and management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.485
H-Index - 37
eISSN - 1611-1699
pISSN - 2029-4433
DOI - 10.3846/1611-1699.2009.10.349-360
Subject(s) - autoregressive conditional heteroskedasticity , volatility (finance) , lithuanian , economics , econometrics , stock market index , stock market , financial economics , stock (firearms) , heteroscedasticity , leverage effect , mechanical engineering , paleontology , linguistics , philosophy , horse , engineering , biology
This article analyses the main factors that influence stock price volatility. The author offers a three‐stage system for explaning a set of stock price volatility factors. The main point is to pay attention to investor's psychology as the main factor of price volatility. For practical analysis the returns of the OMXV index and stock prices of the Lithuanian stock market are taken and applied to a set of GARCH models. The main idea is to choose the best of the general autoregressive conditional heteroskedasticity models (GARCH) for OMXV index and all sectors. All models are ranged according to their ability to model stock price return. The main tendencies of the Lithuanian stock market are also analysed in this article by highlighting the leverage effect.