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Estimating the probability of stock market crashes for Bucharest Stock Exchange using stable distributions

Author

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  • Daniel Traian PELE

    (Bucharest Academy of Economic Studies)

Abstract

In this study we analyse the evolution of BET Bucharest Stock Exchange through an AR-GARCH model and we estimate the likelihood of extreme events using stable distributions. Using the time series of the Bucharest Stock Exchange main index BET we argue that stable distributions can significantly improve the prediction of an extreme event.

Suggested Citation

  • Daniel Traian PELE, 2012. "Estimating the probability of stock market crashes for Bucharest Stock Exchange using stable distributions," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(7(572)), pages 5-12, July.
    • Handle: RePEc:agr:journl:v:7(572):y:2012:i:7(572):p:5-12
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    Cited by:

    1. Andreea – Cristina PETRICA & Stelian STANCU, 2017. "Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models," Romanian Statistical Review, Romanian Statistical Review, vol. 65(1), pages 57-72, March.
    2. Kimera Naradh & Retius Chifurira & Knowledge Chinhamu, 2022. "Analysis of stock exchange risk and currency in South African Financial Markets using stable parameter estimation," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 11(1), pages 120-131, January.

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