期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2017
期号：3
页码：173-200
语种：English
出版社：Polska Akademia Nauk
摘要：The purpose of this paper is to model daily returns of the WIG20 index.The idea is to consider a model that explicitly takes changes in the amplitudeof the clusters of volatility into account. This variation is modelled by apositive-valued deterministic component. A novelty in specification of themodel is that the deterministic component is specified before estimating themultiplicative conditional variance component. The resulting model is subjectedto misspecification tests and its forecasting performance is compared with thatof commonly applied models of conditional heteroskedasticity.
