IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v12(541)(supplement)y2009i12(541)(supplement)p613-618.html
   My bibliography  Save this article

Analysis Of The Romanian Capital Market Volatility

Author

Listed:
  • Bogdan Dima

    (Bucharest Academy of Economic Studies Economics and Business Administration)

  • Flavia Barna

    (Bucharest Academy of Economic Studies Economics and Business Administration)

  • Petru-Ovidiu Mura

    (Bucharest Academy of Economic Studies Economics and Business Administration)

Abstract

The increasing availability of financial market data at intraday frequencies has led to the development of improved ex-post volatility measurements. In the process of structuring the portfolio, a key variable is the global volatility. The objective of this paper is to analyze the Romanian Capital market volatility inside a GARCH framework in order to identify the structural changes and also to provide some empirical evidence about the market time-scale invariance property. The data for our empirical study consists of ROTX stock index transaction prices during the period 11/6/2007 and 11/20/2009.

Suggested Citation

  • Bogdan Dima & Flavia Barna & Petru-Ovidiu Mura, 2009. "Analysis Of The Romanian Capital Market Volatility," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 12(12(541)(s), pages 613-618, December.
    • Handle: RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:613-618
    as

    Download full text from publisher

    File URL: http://www.ectap.ro/documente/suplimente/Finantele%20si%20stabilitatea%20economica_Finante_en2010.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:12(541)(supplement):y:2009:i:12(541)(supplement):p:613-618. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mircea Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.