MODELING THE VOLATILITY OF THE BET-FI INDEX
Journal Title: Revista Romana de Statistica - Year 2013, Vol 61, Issue 7
Abstract
In this paper we conducted an analysis of stock market risk in Romania, namely on the basis of BET-FI sectoral index (Bucharest Exchange Trading Investment Funds) volatility, developed by the Bucharest Stock Exchange (BSE). We tried to identify an econometric model to model the volatility of the BET-FI index. The analysis was performed using GARCH models, which are very useful tools applied in financial econometrics. In the case study we have identified the best model for analyzing the BET-FI index volatility for the period 03.01.2008 - 04.12.2013 (1332 daily values ) and we noticed which are the periods with more pronounced volatility.
Authors and Affiliations
Dan Ion GHERGUŢ, Bogdan OANCEA, Claudia CĂPĂŢÎNĂ
Keywords
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