Recent analysis of the leverage effect
for the main index on the Warsaw Stock Exchange
In this paper we examine four asymmetric GARCH type models and one (basic) symmetric GARCH model. In particular, the analysis is limited to GARCH(1,1). We analysed daily logarithmic returns of WIG (the main index of the Warsaw Stock Exchange). The aim of the analysis was to check whether there is a so-called “leverage effect” on the Warsaw Stock Exchange in the recent period (since the accession of the European Union). In particular, if volatility of returns from the index is differently affected by the changes of the index itself. We have found that the analysis weakly confirms the hypothesis of the existence of such an effect, but the results show that a continuation of the current research is still reasonable.
Asymmetric GARCH models, leverage effect, Poland, Warsaw Stock Exchange
C22, G11, G17