Impact of the global financial crisis on stock market volatility: Evidence from Central European stock market

Volatility measuring is an important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. This paper deals with the impact of the global financial crisis on Central European stock market volatility represented by the Czech and Polish stock markets. Therefore, fluctuations and volatility in these markets before, during and after the crisis were analyzed. This paper tries to identify the length of the global financial crisis, estimate the potential risk in the stock market during financial turmoil and analyze the characteristics of the risk. For a comprehensive analysis, several sophisticated models of quantitative financial analysis were adopted. We especially worked with Jump-Diffusion GARCH model considering heteroskedasticity which allow greater accuracy than simple GARCH type volatility models.