MODELING OF VOLATILITY IN THE ROMANIAN CAPITAL MARKET

Claudiu Opreana and Vasile Bratian
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Claudiu Opreana: Lucian Blaga University of Sibiu, Romania
Vasile Bratian: Lucian Blaga University of sibiu, Romania

Studies in Business and Economics, 2012, vol. 7, issue 3, 113-128

Abstract: This paper aims to analyze the volatility of capital market in Romania by selecting a portfolio of representative indices (BET BET_FI and RASDAQ_C). In this respect, we want to identify the most appropriate model to estimate volatility by using modern econometric tools and useful GARCH models respectively. The study results highlight that EGARCH(1,1) model has managed to eliminate all traces of statistically significant autocorrelation and ARCH effects from the residuals from daily series, giving an accurate image of the Romanian capital market volatility.

Keywords: volatility; GARCH models; autocorrelation; normal distribution (search for similar items in EconPapers)
Date: 2012
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