出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：The increasing availability of financial market data at intraday frequencies has led to the development of improved ex-post volatility measurements. In the process of structuring the portfolio, a key variable is the global volatility. The objective of this paper is to analyze the Romanian Capital market volatility inside a GARCH framework in order to identify the structural changes and also to provide some empirical evidence about the market time-scale invariance property. The data for our empirical study consists of ROTX stock index transaction prices during the period 11/6/2007 and 11/20/2009.
关键词：volatility; capital market; GARCH model; structural changes.
