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Theoretical and Applied Economics
No. 11 / 2013 (588)

Innovative methods to analyze the stock market in Romania. Studying the volatility of the Romanian stock market with the ARCH and GARCH models using the “R” software

Antoniade-Ciprian ALEXANDRU
Ecological University of Bucharest
Nicoleta CARAGEA
Ecological University of Bucharest
Ana-Maria DOBRE
National Institute of Statistics, Bucharest

Abstract. In recent years more and more complex software packages and more specialized are used to model and to explain economic process. In this paper we present a study on Romanian’s capital market volatility in ARCH and GARCH models using programming environment “R” as new statistical software. We consider the BET and BETC indexes as representative elements of capital market developments. With this study we want to highlight the advantages of using the package “rugarch” that can implement a set of GARCH models and allows the inclusion of external regressors in the variance equation.

Keywords: R packages; programming language; capital market; data analysis; regression models.

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