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文章基本信息

  • 标题:Modelling the Volatility of an Energy Sector Stock Exchange Index
  • 本地全文:下载
  • 作者:Laura-Gabriela Constantin ; Alecsandru-Oancia Constantin ; Bogdan Cernat-Gruici
  • 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
  • 页码:48-55
  • 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
  • 关键词:BET NG index; volatility; capital markets
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