ANALYSIS OF THE ROMANIAN CAPITAL MARKET VOLATILITY

Bogdan Dima, Flavia Barna and Petru-Ovidiu Mura
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Petru-Ovidiu Mura: Bucharest Academy of Economic Studies Economics and Business Administration

Theoretical and Applied Economics, 2009, vol. 12(541)(supplement), issue 12(541)(supplement), 613-618

Abstract: The increasing availability of financial market data at intraday frequencies has led to the development of improved ex-post volatility measurements. In the process of structuring the portfolio, a key variable is the global volatility. The objective of this paper is to analyze the Romanian Capital market volatility inside a GARCH framework in order to identify the structural changes and also to provide some empirical evidence about the market time-scale invariance property. The data for our empirical study consists of ROTX stock index transaction prices during the period 11/6/2007 and 11/20/2009.

Keywords: volatility; capital market; GARCH model; structural changes. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:613-618

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