Estimating the probability of stock market crashes for Bucharest Stock Exchange using stable distributions

Daniel Traian Pele ()

Theoretical and Applied Economics, 2012, vol. XVIII(2012), issue 7(572), 5-12

Abstract: In this study we analyse the evolution of BET Bucharest Stock Exchange through an AR-GARCH model and we estimate the likelihood of extreme events using stable distributions. Using the time series of the Bucharest Stock Exchange main index BET we argue that stable distributions can significantly improve the prediction of an extreme event.

Keywords: stable distribution; financial crisis; stock market. (search for similar items in EconPapers)
Date: 2012
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