Using Garch-in-Mean Model to Investigate Volatility and Persistence at Different Frequencies for Bucharest Stock Exchange during 1997-2012
In our paper we use data mining to compare the volatility structure of high (daily) and low (weekly, monthly) frequencies for seven Romanian companies traded on Bucharest Stock Exchange and three market indices, during 1997-2012. For each of the 10 time series and three frequencies we fit a GARCH-in...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2012-05-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/721.pdf
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