出版社：Juraj Dobrila University of Pula, Department of Economics and Tourism 'Dr. Mijo Mirkovic'
摘要：The aim of this paper is modelling short-term volatility at the main Croatian stock market, Zagreb Stock Exchange. We present GARCH models following the hypotheses that volatility in the short-run depends on the volume of traded stocks and that volatility of the Zagreb Stock Exchange (ZSE) main index CROBEX is influenced by the situation on the international financial markets; NYSE Stock Exchange indices and European Stock indices. We have assessed an influence of the American DJIA and NASDAQ, as well as European DAX and FTSE indices on CROBEX. On the bases of the parameter estimates of the proposed GARCH type models, the objective is to investigate which market – American or European – has a stronger impact on CROBEX index.
关键词：volatility; GARCH model; Zagreb Stock Exchange; stock index
