Review article
https://doi.org/10.46458/27121097.2022.28.149
APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA
Irena Planinić
orcid.org/0000-0002-8774-8825
; JP „Elektroprivreda HZ HB“ d.d. Mostar
Full text: croatian pdf 628 Kb
page 149-169
downloads: 141
cite
APA 6th Edition
Planinić, I. (2022). APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA. Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, (28), 149-169. https://doi.org/10.46458/27121097.2022.28.149
MLA 8th Edition
Planinić, Irena. "APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA." Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, vol. , no. 28, 2022, pp. 149-169. https://doi.org/10.46458/27121097.2022.28.149. Accessed 27 Dec. 2024.
Chicago 17th Edition
Planinić, Irena. "APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA." Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru , no. 28 (2022): 149-169. https://doi.org/10.46458/27121097.2022.28.149
Harvard
Planinić, I. (2022). 'APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA', Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, (28), pp. 149-169. https://doi.org/10.46458/27121097.2022.28.149
Vancouver
Planinić I. APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA. Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru [Internet]. 2022 [cited 2024 December 27];(28):149-169. https://doi.org/10.46458/27121097.2022.28.149
IEEE
I. Planinić, "APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA", Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, vol., no. 28, pp. 149-169, 2022. [Online]. https://doi.org/10.46458/27121097.2022.28.149
Full text: english pdf 628 Kb
page 149-169
downloads: 170
cite
APA 6th Edition
Planinić, I. (2022). APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA. Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, (28), 149-169. https://doi.org/10.46458/27121097.2022.28.149
MLA 8th Edition
Planinić, Irena. "APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA." Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, vol. , no. 28, 2022, pp. 149-169. https://doi.org/10.46458/27121097.2022.28.149. Accessed 27 Dec. 2024.
Chicago 17th Edition
Planinić, Irena. "APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA." Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru , no. 28 (2022): 149-169. https://doi.org/10.46458/27121097.2022.28.149
Harvard
Planinić, I. (2022). 'APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA', Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, (28), pp. 149-169. https://doi.org/10.46458/27121097.2022.28.149
Vancouver
Planinić I. APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA. Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru [Internet]. 2022 [cited 2024 December 27];(28):149-169. https://doi.org/10.46458/27121097.2022.28.149
IEEE
I. Planinić, "APPLICATION OF GARCH(1,1) MODEL FOR FINANCIAL ASSESSMENT OF DAILY RETURN VOLATILITY – CASE OF BOSNIA AND HERZEGOVINA", Zbornik radova Ekonomskog fakulteta Sveučilišta u Mostaru, vol., no. 28, pp. 149-169, 2022. [Online]. https://doi.org/10.46458/27121097.2022.28.149
Abstract
The paper investigates the volatility of two stock exchanges in Bosnia and Herzegovina, and the volatility of returns on SASX 10 and BIRS in the period from 2006 to 2021. The paper analyses the volatility of the index using the GARCH (1,1) model. The results show that volatility is present on both stock exchanges. The α coefficient shows a large value for the SASX 10 index, while the β coefficient is higher for the BIRS index. The data showed greater and longer-lasting stability and volatility on both stock exchanges.
Keywords
volatility; GARCH (1,1) model; financial market of Bosnia and Herzegovina;
Hrčak ID:
292220
URI
https://hrcak.srce.hr/292220
Publication date:
28.12.2022.
Article data in other languages:
croatian
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