MODELING THE VOLATILITY OF THE BET-FI INDEX

Dan Ion Ghergut, Bogdan Oancea and Claudia Capatina
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Dan Ion Ghergut: „Titu Maiorescu” Univeristy - Bucharest
Claudia Capatina: Hyperion Univeristy - Bucharest

Romanian Statistical Review, 2013, vol. 61, issue 7, 27-41

Abstract: In this paper we conducted an analysis of stock market risk in Romania, namely on the basis of BET-FI sectoral index (Bucharest Exchange Trading Investment Funds) volatility, developed by the Bucharest Stock Exchange (BSE). We tried to identify an econometric model to model the volatility of the BET-FI index. The analysis was performed using GARCH models, which are very useful tools applied in financial econometrics. In the case study we have identified the best model for analyzing the BET-FI index volatility for the period 03.01.2008 - 04.12.2013 (1332 daily values ) and we noticed which are the periods with more pronounced volatility.

Keywords: stock index; volatility; profitability; capitalization; GARCH models (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:rsr:journl:v:61:y:2013:i:7:p:27-41

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