Recent Changes On Romanian Capital Marketâ€™S Volatility In The Framework Of A Component Garch Model
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.
Volume (Year): 1 (2008)
Issue (Month): 10 ()
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