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Innovative methods to analyze the stock market in Romania. Studying the volatility of the Romanian stock market with the ARCH and GARCH models using the “R” software

Author

Listed:
  • Antoniade-Ciprian ALEXANDRU

    (Ecological University of Bucharest)

  • Nicoleta CARAGEA

    (Ecological University of Bucharest)

  • Ana-Maria DOBRE

    (National Institute of Statistics, Bucharest)

Abstract

In recent years more and more complex software packages and more specialized are used to model and to explain economic process. In this paper we present a study on Romanian’s capital market volatility in ARCH and GARCH models using programming environment “R” as new statistical software. We consider the BET and BETC indexes as representative elements of capital market developments. With this study we want to highlight the advantages of using the package “rugarch” that can implement a set of GARCH models and allows the inclusion of external regressors in the variance equation.

Suggested Citation

  • Antoniade-Ciprian ALEXANDRU & Nicoleta CARAGEA & Ana-Maria DOBRE, 2013. "Innovative methods to analyze the stock market in Romania. Studying the volatility of the Romanian stock market with the ARCH and GARCH models using the “R” software," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(11(588)), pages 83-100, November.
  • Handle: RePEc:agr:journl:v:xx:y:2013:i:11(588):p:83-100
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