ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market
Journal Title: Dynamic Econometric Models - Year 2011, Vol 11, Issue 1
Abstract
The main goal of this study is to present the regressions of the GARCH versions of classical market-timing models of Polish equity funds. We examine the models with lagged values of the market factor as an additional variable because of the Fisher’s effect in the case of the main Warsaw Stock Exchange indexes. The market-timing and selectivity abilities of fund managers are evaluated for the period Jan 2003 – June 2011. Results on both the HAC and the GARCH estimates are qualitatively similar, and even better in the case of the simpler HAC method. For this reason, it is not necessary to estimate the GARCH versions of market-timing models in the case of Polish mutual funds, even despite the strong ARCH effects that exist in these models.
Authors and Affiliations
Joanna Olbryś
Keywords
Related Articles
- EP ID EP113997
- DOI -
- Views 65
- Downloads 0
The Synchronization of Regional Business Cycles with Nationwide Cycles
This paper attempts to assess the level of synchronization between the business cycles of Poland’s regions and those of the country as a whole. The measure of economic activity was an index of total industrial output sol...
On the Interpretation of Causality in Granger’s Sense
The concept of causality formulated in 1969 by C.W.J. Granger is mostly popular in the econometric literature. The central assumption of the concept is the fact that the cause precedes the effect and can help in forecast...
Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk...
Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
The purpose of this paper is to verify strong-form purchasing power parity (PPP) of EUR/PLN within a class of smooth transition vector error correction models (ESTVECM). Empirical importance of exponential smooth transit...
Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries
In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was...