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Arch Testing Heteroscedasticity On The Bet Index


  • Ionut Teodor Ionescu

    (Academy of Economic Studies, Bucharest)

  • Radu Stroe

    (Academy of Economic Studies, Bucharest)


This article focuses on volatility modeling from a stochastic perspective, taking into consideration its variations in time, with the purpose of accomplishing a better estimation of future assets profitability. The stability in time of an evolution law describing volatility, as a precision tool, continues to represent, even today, a restrictive hypothesis for any tock market depicted by significant turbulences. The study has been developed by using heteroscedastic models applied to the Bucharest Stock Exchange BET Index.

Suggested Citation

  • Ionut Teodor Ionescu & Radu Stroe, 2008. "Arch Testing Heteroscedasticity On The Bet Index," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 12(12(517)(s), pages 98-103, December.
  • Handle: RePEc:agr:journl:v:12(517)(supplement):y:2008:i:12(517)(supplement):p:98-103

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