Modeling and Forecasting Volatility: Evidence from Bosnia and Herzegovina

• Název v anglickém jazyce: Modeling and Forecasting Volatility: ; Evidence from Bosnia and Herzegovina
• Akademický rok vypsání: 2013/2014
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: Mgr. Petr Polák, M.Sc., Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 20.06.2014
• Datum zadání: 20.06.2014
• Datum a čas obhajoby: 23.06.2016 09:30
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 13.05.2016
• Datum proběhlé obhajoby: 23.06.2016
• Oponenti: Mgr. Václav Hausenblas

Seznam odborné literatury

Erjavec, N., Cota, B., 2007. Modeling Stock Market Volatility in Croatia. Economic Research, Volume 20 No 1.

Bucevska, V., 2013. An Empirical Evauation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange. Business System Research Volume 4 No 1.

Kovačić, Z., 2007. Forecasting Volatility: Evidence From the Macedonia Stock Exchange. Munich Personal RePEc Archive

Minović, J.,
Modeling Multivariate Volatility Processes: Theory and Evidence.

Nikolić-Đorić, E., Đorić, Dragan. 2011. Dynamic Value at Risk Estimation for BELEX15. Metodološki zvezki, Volume 8 No. 1.

Minović, J., 2008. Computer Program Estimation Multivariate Volatility Process Using DVEC Model. Management Information Systems, Volume 3 No. 2.

Minović, J., 2010. Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach. South East European Journal of Economics and Business.

Dajčman, S., Festić, M., 2012. Interdependence Between The Slovenian and European Stock Markets - A DCC-GARCH Analysis. Economic Research. Volume 25. No.2.

Cerović, J., Lipovina-Božović, M., Vujošević, S., 2015. A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro. Business System Research, Volume 6 No. 1.
Hansen, P., Lunde, A. 2005A Comparison of Volatility Models: Does Anything Beat a GARC (1,1)?.
Journal of Applied Econometrics, Volume 20 No. 7.

Hamilton, J. 1994. Time Series Analysis. Princeton University Press.

Brockwell, Peter. 1991. Time Series: Theory and Methods. Springer Series in Statistics.

Předběžná náplň práce v anglickém jazyce

Hypotheses:
1. Stock market indices on SASE and BLSE can be properly modeled using GARCH process.
2. Stock markets in former Yugoslavia countries show similar GARCH processes, e.g. have similar volatility.
3. Stock markets in Bosnia and Herzegovina demonstrate greater volatility than the benchmark index for Europe (Eurostoxx).

Methodology:
Historical data (price quotes) for selected indices (SASX-10, BIRS, BELEX15, CROBEX, SBITOP, DAX, MBI10, MONEX20 Eurostoxx50) will be obtained via Reuters Wealth Manager platform. If Reuters Wealth Manager proves to be insufficient, data will be supplemented with historical prices listed on offical stock market websites.

Hypothesis #1 will be tested by fitting data to follow GARCH process.

Hypothesis #2 and #3 will be tested by comparing estimates for respective GARCH models and plotting conditional standard deviations. More specifically, we will focus our attention on comparison of conditional variance, e.g. GARCH term σ.

Expected Contribution:
While neighbouring markets volatility, particularly the Croatia and Serbia markets, have been extensively researched and modeled, this is the first attempt (to the best of our knowledge) to model Bosnia's stock markets volatility. Lack of previous research may be due to the fact that stock markets in Bosnia and Herzegovina have emerged relatively late and remain fairly unfamiliar to broader public. In addition, since longer times series are needed for proper modeling, it could be argued that the lack of data previously stalled any serious academic interest. With ten years of data at our hand, this thesis will hopefully contribute to awakening of enthusiasm.

In practical terms, this thesis will add to the understanding of emerging Bosnia markets and provide crucial volatility information for the interested investors. As Bosnia moves to Euro-Atlantic integration, this will become increasingly important as a part of risk assesment. In addition, our research will allow us to compare former Yugoslavia markets in order to idenftify how diverse volatility across region is and provide policy recommendations.