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