Advanced Search
MyIDEAS: Login

Testing for Heteroskedasticity on the Bucharest Stock Exchange

Contents:

Author Info

  • Radu Lupu

    ()
    (Academy of Economic Studies, Bucharest, Romania)

  • Iulia Lupu

    ()
    (Victor Slavescu Center for Financial and Monetary Research, Romanian Academy)

Abstract

The ARCH type of models is a notorious family of models proven to be suitable for predicting financial returns. Their notoriety flourished after Bollerslev (1986) developed the econometric Generalized ARCH model (GARCH). This paper provides a presentation of the main characteristics of the modeling of financial returns with the objective to calibrate an EGARCH (Exponential GARCH) model for the logarithmic returns of the Romanian composite index BET-C on the stocks listed at the Bucharest Stock Exchange. We continue a previous study Lupu (2005) to model the statistical properties of these returns in comparison with the main non-normality properties found in previous research for the US stock index. We found that these properties are generally held on the Romanian market and this provides us reasons to trust the opportunity of an EGARCH model. The article provides the testing of the predictive power of this model for the Romanian index by calibrating the model and then evaluate its performance on an out of sample test.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.rejournal.eu/sites/rejournal.versatech.ro/files/articole/2014-05-10/2326/je202320lupu20lupu.pdf
Download Restriction: no

Bibliographic Info

Article provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.

Volume (Year): 10 (2007)
Issue (Month): 23 (June)
Pages: 19-28

as in new window
Handle: RePEc:rej:journl:v:10:y:2007:i:23:p:19-28

Contact details of provider:
Postal: 6 ROMANA PLACE, 70167 - BUCHAREST
Phone: 0040-01-2112650
Fax: 0040-01-3129549
Email:
Web page: http://www.rei.ase.ro/
More information through EDIRC

Related research

Keywords: Exponential GARCH; financial econometrics; Romanian stock exchange;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. OPREANA Claudiu & BRATIAN Vasile, 2012. "Modeling Of Volatility In The Romanian Capital Market," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 113-128, December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:rej:journl:v:10:y:2007:i:23:p:19-28. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Radu Lupu).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.