摘要：The ARCH type of models is a notorious family of models proven to be suitable for predicting financial returns.
Their notoriety flourished after Bollerslev (1986) developed the econometric Generalized ARCH model
(GARCH). This paper provides a presentation of the main characteristics of the modeling of financial returns
with the objective to calibrate an EGARCH (Exponential GARCH) model for the logarithmic returns of the
Romanian composite index BET-C on the stocks listed at the Bucharest Stock Exchange. We continue a previous
study Lupu (2005) to model the statistical properties of these returns in comparison with the main non-normality
properties found in previous research for the US stock index. We found that these properties are generally held on
the Romanian market and this provides us reasons to trust the opportunity of an EGARCH model. The article
provides the testing of the predictive power of this model for the Romanian index by calibrating the model and then
evaluate its performance on an out of sample test.
关键词：Exponential GARCH, financial econometrics, Romanian stock exchange
