 Estimating volatility using GARCH models on the Romanian stock marketDragoş Păun, Ioan-Alin Nistor and Eva Dezsi International Journal of Economics and Accounting, 2021, vol. 10, issue 3, 310-320 Abstract: This paper aims to analyse the volatility of the Romanian market by employing GARCH models in order to assess the characteristics of the stock market. We investigate the presence of leverage effects and volatility clustering, mean-reversion, by employing symmetric and asymmetric models. The evolution of the volatility of a market is a good indicator of the uncertainty of the trading environment, and we wish to assess the state of the Romanian stock market in the light of the current economic and market conditions. We consider this to be important as the risk and return related to the stock market can be an indicator to the general view of the Romanian economy. The empirical investigation was conducted on the principal indexes from the Romanian stock exchange, from the day each index was listed until April 2017. The results indicate that on the Romanian market a strong persistence is observable for all the indexes, but, with the exception of BET and BET-FI, no asymmetric effects could be detected. Our results indicate that the Romanian market is mainly characterised by low and very low volatility, with short periods of spikes in high volatility. Keywords: Romanian stock market; volatility; GARCH models. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecac:v:10:y:2021:i:3:p:310-320 Access Statistics for this article More articles in International Journal of Economics and Accounting from Inderscience Enterprises Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.