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Modeling The Volatility Of The Bet-Fi Index

Author

Listed:
  • Dan Ion GHERGUT

    („Titu Maiorescu” Univeristy - Bucharest)

  • Bogdan OANCEA

    („Nicolae Titulescu” Univeristy - Bucharest)

  • Claudia CAPATINA

    (Hyperion Univeristy - Bucharest)

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.

Suggested Citation

  • Dan Ion GHERGUT & Bogdan OANCEA & Claudia CAPATINA, 2013. "Modeling The Volatility Of The Bet-Fi Index," Romanian Statistical Review, Romanian Statistical Review, vol. 61(7), pages 27-41, August.
    • Handle: RePEc:rsr:journl:v:61:y:2013:i:7:p:27-41
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    References listed on IDEAS

    as
    1. Cristiana Tudor, 2008. "Modelarea volatilitatii seriilor de timp prin modele GARCH simetrice," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 11(30), pages 183-208, (4).
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