STUDYING THE VOLATILITY OF THE ROMANIAN INVESTMENT FUNDS WITH THE ARCH AND GARCH MODELS USING THE "R" SOFTWARE

Ciprian Alexandru

No 3, Working papers from Ecological University of Bucharest, Department of Economics

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 investment funds volatility in ARCH and GARCH models using programming environment “R”. Representative elements of capital market developments we consider the largest investment funds with a large portfolio in energy field. Given the size of the fund it could be consider as an index for energy field in Romania. Also, with this study we want to highlight the advantages of using the package "rugarch" that can implement a set of ARCH.

Keywords: R packages; programming language; capital market; data analysis; regression models (search for similar items in EconPapers)
JEL-codes: C63 G17 O16 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2013-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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