| Abstract [eng] |
The hypothesis of market efficiency in asset prices in this paper is analysed and ARIMA models are fitted. Sufficient condition of assets market efficiency is standing of random walk hypothesis. Therefore, using criterions of autocorrelation coefficients, Box – Pierce Q – statistics and variance ratio, hypothesis of random walk for returns of asset prices was checked. All mentioned tests commonly do not reject random walk hypothesis; therefore it can be said that assets prices are valued effectively. As asset prices can be treated as time series, ARIMA models were fitted. As it is common for ARIMA models, good predictions were gained only for short – time forecasting (best for one – step predictions) and for those periods, which had large number of observations. |
