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THE APPLICATION OF GARCH (1.1) MODEL FOR MESEARING SHOCKS TRANSMISSION IN BOND MARKET

Renata Karkowska · Lodz University Press · 2015

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Author / responsible party
Renata Karkowska
Publisher
Lodz University Press
Year
2015
ISSN
0208-6018
ISSN
0208-6018
Language
English

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The object of the study is identification of the bond yields volatility in selected European countries, during the crisis of Greece’s public finances from 2010 to 2013. For this purpose used GARCH (1.1) model. The specific aim of the study is to determine: do we have to deal with so-called contagion effect in Treasury bonds market? The analysis was conducted in two trials : 1/ for the countries of Central and Eastern Europe, represented by Czech Republic and Poland, 2/ for developed countries – Austria and France.

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APA 7

Karkowska, R. (2015). THE APPLICATION OF GARCH (1.1) MODEL FOR MESEARING SHOCKS TRANSMISSION IN BOND MARKET. https://czasopisma.uni.lodz.pl/foe/article/view/519

MLA

Karkowska, Renata. "THE APPLICATION OF GARCH (1.1) MODEL FOR MESEARING SHOCKS TRANSMISSION IN BOND MARKET." 2015. https://czasopisma.uni.lodz.pl/foe/article/view/519.

Chicago

Karkowska, Renata. 2015. "THE APPLICATION OF GARCH (1.1) MODEL FOR MESEARING SHOCKS TRANSMISSION IN BOND MARKET.". https://czasopisma.uni.lodz.pl/foe/article/view/519.

Harvard

Karkowska, R. 2015, THE APPLICATION OF GARCH (1.1) MODEL FOR MESEARING SHOCKS TRANSMISSION IN BOND MARKET, Lodz University Press, available at: https://czasopisma.uni.lodz.pl/foe/article/view/519 [Accessed 6 Aug. 2026].

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Resource details

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Title
THE APPLICATION OF GARCH (1.1) MODEL FOR MESEARING SHOCKS TRANSMISSION IN BOND MARKET
Author / contributors
Renata Karkowska
Publisher
Lodz University Press
Publication year
2015
ISSN
0208-6018
ISSN
0208-6018
Language
English

Subjects

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Volatility Treasury Bonds Market Credit Spread GARCH Model
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