Volatility Analysis Of The Investment Company Index Using The Arch And Garch Models
AbstractIn this paper we present a study on volatility of the investment company index listed on Romanian’s capital market with the ARCH and GARCH models using programming environment “R” as statistical software. Representative elements of capital market developments we consider the BET and BETC indexes. With this study we want to highlight the advantages of using the package “rugarch” that can implement a set of GARCH models and allows the inclusion of external regressors in the variance equation.
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Bibliographic InfoPaper provided by Ecological University of Bucharest, Department of Economics in its series Working papers with number 2012-01.
Length: 14 pages
Date of creation: Feb 2013
Date of revision:
R packages; index; capital market; investment company; regression models;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
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