Asymmetric Conditional Volatility on the Romanian Stock Market
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to test the hypothesis under which the the conditional variance of stock returns is an asymmetric function of past information. This paper investigates the volatility of the Romanian Stock Market using daily observations from BETC Index for the period from 1998 to 2008. The empirical analysis supports the hypothesis of asymmetric volatility; hence, good and bad news of the same magnitude have different impacts on the volatility level. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect.
|Date of creation:||Oct 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.dofin.ase.ro/carfib/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:cab:wpaefr:32. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ciprian Necula)The email address of this maintainer does not seem to be valid anymore. Please ask Ciprian Necula to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.