MODELING OF VOLATILITY IN THE ROMANIAN CAPITAL MARKET

6533b82bfe1ef96bd128e74f

RESEARCH PRODUCT

MODELING OF VOLATILITY IN THE ROMANIAN CAPITAL MARKET

subject

volatility GARCH models autocorrelation normal distribution

description

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.

year	journal	country	edition	language
2012-01-01	Studies in Business and Economics

http://eccsf.ulbsibiu.ro/RePEc/blg/journl/739opreana&bratian.pdf

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