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

Author

Listed:
  • Dima Bogda
  • Pirtea Marilen
  • Murgea Aurora
  • Mura Petru Ovidiu

Abstract

The Romanian capital market was receiving the shock waves of the financial crisis starting with August 2007. The volatility of its evolutions was corresponding modified as a response to an increased uncertainty trading environment. The objective of this paper is to provide some empirical evidences for a more detailed analysis of these changes by employing a „Component GARCH†model. The main output consists in the finding that both long-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

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    More about this item

    Keywords

    Romanian capital market; financial crisis; Component GARCH; long-run volatility; short- run volatility;
    All these keywords.

    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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