Testing for Heteroskedasticity on the Bucharest Stock Exchange
AbstractThe 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 InfoIf 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.
Bibliographic InfoArticle 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)
Exponential GARCH; financial econometrics; Romanian stock exchange;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Radu Lupu).
If references are entirely missing, you can add them using this form.