0411073 20240111140636.120060210235959.9 Application of the GARCH - t model on stock returns in emerging capital markets Kiel Fritz Thyssen Stiftung 2003 CD-ROM WEHIA 2003. 8th Annual Workshop on Economics with Heterogeneous Interacting Agents1-14 efficient markets hypothesis asset price behaviour cav_un_auth*0101230 Vošvrda Miloslav UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101240 Žikeš Filip UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. 184 kB 05D GA402/01/0034 GA ČR cav_un_auth*0008950 287/2003/A-EK/FSV GA UK CZ cav_un_auth*0200687 CEZ:AV0Z1075907 We will interested in the Student's t-distribution since it is fairly simple to implement in empirical applications. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is studied the GARCH-t model which also allows to us to learn more about the distribution properties of stock returns. cav_un_auth*0213023 WEHIA 2003 /8./ Kiel DE 29.05.2003-31.05.2003 AH E http://hdl.handle.net/11104/0131160 UTIA-B 20030060 2003 2003 Kiel Fritz Thyssen Stiftung 184 kB WEHIA 2003. 8th Annual Workshop on Economics with Heterogeneous Interacting Agents 1 14