ARCH TESTING HETEROSCEDASTICITY ON THE BET INDEX

Ionut Ionescu and Radu Stroe

Theoretical and Applied Economics, 2008, vol. 12(517)(supplement), issue 12(517)(supplement), 98-103

Abstract: This article focuses on volatility modeling from a stochastic perspective, taking into consideration its variations in time, with the purpose of accomplishing a better estimation of future assets profitability. The stability in time of an evolution law describing volatility, as a precision tool, continues to represent, even today, a restrictive hypothesis for any tock market depicted by significant turbulences. The study has been developed by using heteroscedastic models applied to the Bucharest Stock Exchange BET Index.

Keywords: heteroscedasticity; capital market, stock exchange index; econometrics. (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
http://store.ectap.ro/suplimente/Finante_nov_2008_en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:12(517)(supplement):y:2008:i:12(517)(supplement):p:98-103

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().