Remarks on Romanian Capital Market Volatility in the Framework of an Power ARCH (PARCH) Model

Bogdan Dima and Mircea Mihai Rob
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Mircea Mihai Rob: West University of Timisoara, Faculty of Economics and Business Administration, Romania

Timisoara Journal of Economics, 2009, vol. 2, issue 2(6), 77-82

Abstract: The recent evolution of the Romanian capital market is characterized by an increase in the market volatility as an expression of investors’ uncertainty about the global financial instability. Thus, the objective of this study is to provide an analytical framework for the analysis of the market volatility and to derive some empirical evidences base on such framework. The main results support the thesis of some recent structural changes in the market’ volatility pattern which had occurred as a direct effect of the financial and real crisis.

Keywords: capital market; volatility; Power Arch Model; Bucharest Stock Exchange (search for similar items in EconPapers)
JEL-codes: G01 G10 G15 (search for similar items in EconPapers)
Date: 2009
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