Author: Opreana Claudiu

0000000000683588

AUTHOR

Opreana Claudiu

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MODELING OF VOLATILITY IN THE ROMANIAN CAPITAL MARKET

2012

This paper aims to analyze the volatility of capital market in Romania by selecting a portfolio of representative indices (BET BET_FI and RASDAQ_C). In this respect, we want to identify the most appropriate model to estimate volatility by using modern econometric tools and useful GARCH models respectively. The study results highlight that EGARCH(1,1) model has managed to eliminate all traces of statistically significant autocorrelation and ARCH effects from the residuals from daily series, giving an accurate image of the Romanian capital market volatility.

volatility GARCH models autocorrelation normal distributionStudies in Business and Economics

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