文章基本信息

标题：Recent Changes On Romanian Capital Market’s Volatility In The Framework Of A Component Garch Model
本地全文：下载
作者：Dima Bogda ; West University from Timisoara Pirtea Marilen ; West University from Timisoara Murgea Aurora 等
期刊名称：Annales Universitatis Apulensis : Series Oeconomica
印刷版ISSN：1454-9409
出版年度：2008
卷号：1
期号：10
出版社：“1 Decembrie 1918” University of Alba Iulia
摘要：The Romanian capital market was receiving the shock waves of the financial crisis starting with August 2007. The volatility of its evolutions was corresponding modified as a response to an increased uncertainty trading environment. The objective of this paper is to provide some empirical evidences for a more detailed analysis of these changes by employing a .Component GARCH” model. The main output consists in the finding that both long-run and short-run components of the volatility were affected by structural changes.
关键词：Romanian capital market; financial crisis; Component GARCH; long-run volatility; shortrun;volatility