Modeling stock market volatility in Croatia

Purpose: In this paper, the volatility of Croatian stock market index CROBEX is investigated using GARCH(1,1) model. Methodology: The novelty provided by paper estimation model three conditional error distributions (normal (Gaussian) distribution, Student’s-distribution with fixed degrees freedom and generalized distribution (GED) parameters). Results: findings obtained in research are line previous field (Erjavec & Cota, 2007; Sajter Ćorić, 2009). returns positively correlated volume trade on Zagreb Stock Exchange movements main European American markets. movement S&P 500 transmitted from day, providing signals for direction change present. Conclusion: Therefore, provides evidence that investors Croatia strongly rely past information received S&P500 index. Furthermore, there seems to exist co-movement between indexes same trading day.