Modelling volatility: Evidence from the bucharest stock exchange
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Tarih
2014
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
ASERS Publishing House
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Financial series tend to be characterized by volatility and this characteristic affects both financial series of developed markets and emerging markets. Because of the emerging markets have provided major investment opportunities in last decades their volatility has been widely investigated in the literature. The most popular volatility models are the Autoregressive Conditional Heteroscedastic (ARCH) or Generalized Autoregressive Conditional Heteroscedastic (GARCH) models. This paper aims to investigate the volatility of Bucharest Stock Exchange, BET index as an emerging capital market and compare forecasting power for volatility of this index during 2000-2014. To do this, this paper use GARCH, TARCH, EGARCH and PARCH models against Generalized Error distribution. We estimate these models then we compare the forecasting power of these GARCH type models in sample period. The results show that the EGARCH is the best model by means of forecasting performance. © 2014 ASERS Publishing House. All rights reserved.
Açıklama
Anahtar Kelimeler
Emerging Markets, GARCH Models, Stock Returns, Volatility
Kaynak
Journal of Applied Economic Sciences
WoS Q Değeri
Scopus Q Değeri
N/A
Cilt
9
Sayı
4
Künye
Uğurlu, E. (2014). Modelling volatility: Evidence from the bucharest stock exchange. Journal of Applied Economic Sciences (JAES), 9(4), 718-727.
