Innovative methods to analyze the stock market in Romania. Studying the volatility of the Romanian stock market with the ARCH and GARCH models using the “R” software

Ciprian Alexandru, Nicoleta Caragea and Ana-Maria Dobre
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Ana-Maria Dobre: National Institute of Statistics, Bucharest
Authors registered in the RePEc Author Service: Ana Maria Ciuhu

Theoretical and Applied Economics, 2013, vol. XX, issue 11(588), 83-100

Abstract: In recent years more and more complex software packages and more specialized are used to model and to explain economic process. In this paper we present a study on Romanian’s capital market volatility in ARCH and GARCH models using programming environment “R” as new statistical software. We consider the BET and BETC indexes as representative elements of capital market developments. With this study we want to highlight the advantages of using the package “rugarch” that can implement a set of GARCH models and allows the inclusion of external regressors in the variance equation.

Keywords: R packages; programming language; capital market; data analysis; regression models. (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xx:y:2013:i:11(588):p:83-100

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