RECENT CHANGES ON ROMANIAN CAPITAL MARKET'S VOLATILITY IN THE FRAMEWORK OF A COMPONENT GARCH MODEL

Bogdan Dima, Pirtea Marilen, Aurora Murgea () and Mura Petru Ovidiu

Annales Universitatis Apulensis Series Oeconomica, 2008, vol. 1, issue 10, 25

Abstract: The Romanian capital market was receiving the shock waves of the financial crisis starting with August 2007. The volatility of its evolutions was corresponding modified as a response to an increased uncertainty trading environment. The objective of this paper is to provide some empirical evidences for a more detailed analysis of these changes by employing a „Component GARCH†model. The main output consists in the finding that both long-run and short-run components of the volatility were affected by structural changes.

Keywords: Romanian capital market; financial crisis; Component GARCH; long-run volatility; short- run volatility (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:alu:journl:v:1:y:2008:i:10:p:25

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