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Modeling Of Volatility In The Romanian Capital Market

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Author Info

  • OPREANA Claudiu

    (Lucian Blaga University of Sibiu, Romania)

  • BRATIAN Vasile

    (Lucian Blaga University of sibiu, Romania)

Registered author(s):

    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.

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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/739opreana&bratian.pdf
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    Bibliographic Info

    Article provided by Lucian Blaga University of Sibiu, Faculty of Economic Sciences in its journal Studies in Business and Economics.

    Volume (Year): 7 (2012)
    Issue (Month): 3 (December)
    Pages: 113-128

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    Handle: RePEc:blg:journl:v:7:y:2012:i:3:p:133-128

    Contact details of provider:
    Postal: Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No.17, postal code 550324, Sibiu, Romania
    Phone: 004 0269 210375
    Fax: 004 0269 210375
    Email:
    Web page: http://economice.ulbsibiu.ro/
    More information through EDIRC

    Related research

    Keywords: volatility; GARCH models; autocorrelation; normal distribution;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Radu Lupu & Iulia Lupu, 2007. "Testing for Heteroskedasticity on the Bucharest Stock Exchange," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 10(23), pages 19-28, June.
    2. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    3. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    4. Miron, Dumitru & Tudor, Cristiana, 2010. "Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), September.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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