期刊名称：Petroleum-Gas University of Ploiesti Bulletin : Economic Sciences Series
印刷版ISSN：2284-8576
电子版ISSN：2247-8582
出版年度：2010
期号：3
语种：English
出版社：Petroleum-Gas University of Ploiesti
摘要：The purpose of the article is to model the serial dependence of the volatility of the BET-NG–Bucharest Exchange Trading Energy & Related Utilities Index by using an extension of the generalized autoregressive conditional heteroscedasticity (GARCH) time series techniques–the GJR asymmetric model.The GJR captures the negative correlation between asset returns and volatility by considering the sign and magnitude of the innovation noise term.
其他摘要：Scopul articolului este reprezentat de modelarea dependenŃei volatilităŃii indicelui BET-NG – Bucharest Exchange Trading Energy & Related Utilities prin utilizarea unei extensii a tehnicii seriilor de timp – modelul asimetric GJR. Modelul GJR captează cor
