Article

RECENT CHANGES ON ROMANIAN CAPITAL MARKET’S VOLATILITY IN THE FRAMEWORK OF A COMPONENT GARCH MODEL

West University from Timisoara
Annales Universitatis Apulensis Series Oeconomica 02/2008; 1(10):25-25. pp.25-25
Source: RePEc

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.

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Keywords

bothlong-run
 
Component GARCH model
 
detailed analysis
 
increased uncertainty trading environment
 
main output
 
paper isto
 
Romanian capital market
 
short-run components
 
structural changes