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Recent Changes On Romanian Capital Market’S Volatility In The Framework Of A Component Garch Model

Author

Listed:
  • Dima Bogda

    () (West University from Timisoara)

  • Pirtea Marilen

    () (West University from Timisoara)

  • Murgea Aurora

    () (West University from Timisoara)

  • Mura Petru Ovidiu

    () (West University from Timisoara)

Abstract

The Romanian capital market was receiving the shock waves of the financialcrisis starting with August 2007. The volatility of its evolutions was corresponding modifiedas a response to an increased uncertainty trading environment. The objective of this paper isto provide some empirical evidences for a more detailed analysis of these changes byemploying a Component GARCH model. The main output consists in the finding that bothlong-run and short-run components of the volatility were affected by structural changes.

Suggested Citation

  • Dima Bogda & Pirtea Marilen & Murgea Aurora & Mura Petru Ovidiu, 2008. "Recent Changes On Romanian Capital Market’S Volatility In The Framework Of A Component Garch Model," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(10), pages 1-25.
  • Handle: RePEc:alu:journl:v:1:y:2008:i:10:p:25
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    References listed on IDEAS

    as
    1. Roberto Chang & Andres Velasco, 2001. "A Model of Financial Crises in Emerging Markets," The Quarterly Journal of Economics, Oxford University Press, vol. 116(2), pages 489-517.
    2. Caballero, Ricardo J. & Krishnamurthy, Arvind, 2001. "International and domestic collateral constraints in a model of emerging market crises," Journal of Monetary Economics, Elsevier, vol. 48(3), pages 513-548, December.
    3. Choe, Hyuk & Masulis, Ronald W. & Nanda, Vikram, 1993. "Common stock offerings across the business cycle : Theory and evidence," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 3-31, June.
    4. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    5. Claessens, Stijn & Kingebiel, Daniela & Schmukler, Sergio L., 2002. "Explaining the Migration of Stocks from Exchanges in Emerging Economies to International Centres," WIDER Working Paper Series 094, World Institute for Development Economic Research (UNU-WIDER).
    6. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    7. Roberto Chang & Andres Velasco, 1998. "Financial Crises in Emerging Markets," NBER Working Papers 6606, National Bureau of Economic Research, Inc.
    8. Caballero, Ricardo J. & Krishnamurthy, Arvind, 2006. "Bubbles and capital flow volatility: Causes and risk management," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 35-53, January.
    9. Robert S. Pindyck & Andrés Solimano, 1993. "Economic Instability and Aggregate Investment," NBER Chapters,in: NBER Macroeconomics Annual 1993, Volume 8, pages 259-318 National Bureau of Economic Research, Inc.
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    11. 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.
    12. Jason Furman & Joseph E. Stiglitz, 1998. "Economic Crises: Evidence and Insights from East Asia," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(2), pages 1-136.
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    More about this item

    Keywords

    Romanian capital market; financial crisis; Component GARCH; long-run volatility; short-run volatility;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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