出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This article focuses on volatility modeling from a stochastic perspective, taking into consideration its variations in time, with the purpose of accomplishing a better estimation of future assets profitability. The stability in time of an evolution law describing volatility, as a precision tool, continues to represent, even today, a restrictive hypothesis for any tock market depicted by significant turbulences. The study has been developed by using heteroscedastic models applied to the Bucharest Stock Exchange BET Index.
关键词：heteroscedasticity; capital market; stock exchange index; econometrics.
