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

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  • Bogdan DIMA

    (West University of Timisoara, Faculty of Economics and Business Administration, Romania)

  • Mircea Mihai ROB

    (West University of Timisoara, Faculty of Economics and Business Administration, Romania)

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.

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Bibliographic Info

Article provided by West University of Timisoara, Romania, Faculty of Economics and Business Administration in its journal Timisoara Journal of Economics.

Volume (Year): 2 (2009)
Issue (Month): 2(6) ()
Pages: 77-82

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Handle: RePEc:wun:journl:tje:v02:y2009:i2(6):a02

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Related research

Keywords: capital market; volatility; Power Arch Model; Bucharest Stock Exchange;

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  1. 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.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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