Estimating volatility using GARCH models on the Romanian stock market
by Dragoş Păun; Ioan-Alin Nistor; Eva Dezsi
International Journal of Economics and Accounting (IJEA), Vol. 10, No. 3, 2021

Abstract: This paper aims to analyse the volatility of the Romanian market by employing GARCH models in order to assess the characteristics of the stock market. We investigate the presence of leverage effects and volatility clustering, mean-reversion, by employing symmetric and asymmetric models. The evolution of the volatility of a market is a good indicator of the uncertainty of the trading environment, and we wish to assess the state of the Romanian stock market in the light of the current economic and market conditions. We consider this to be important as the risk and return related to the stock market can be an indicator to the general view of the Romanian economy. The empirical investigation was conducted on the principal indexes from the Romanian stock exchange, from the day each index was listed until April 2017. The results indicate that on the Romanian market a strong persistence is observable for all the indexes, but, with the exception of BET and BET-FI, no asymmetric effects could be detected. Our results indicate that the Romanian market is mainly characterised by low and very low volatility, with short periods of spikes in high volatility.

Online publication date: Thu, 29-Jul-2021

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Economics and Accounting (IJEA):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com