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

  • 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)

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.

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Article provided by Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia in its journal Annales Universitatis Apulensis Series Oeconomica.

Volume (Year): 1 (2008)
Issue (Month): 10 ()
Pages: 25

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Handle: RePEc:alu:journl:v:1:y:2008:i:10:p:25
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