MODELING THE VOLATILITY OF THE BUCHAREST STOCK EXCHANGE USING THE GARCH MODELS

This paper investigates the volatility of daily returns in the Romanian stock market over the period January 2005 to December 2017. Volatility is analysed using four stock market indices (BET, BETC, BETPlus and ROTX). We aimed in this article to identify an econometric model to shape volatility of our selected stock market indices. The analysis was carried out using GARCH models, very useful tools applied in financial economics. In the survey, the best model was identified for analysing the volatility of the stock market indices. The conditional volatility for the daily return series shows a clear evidence of volatility shifting over the period. In the course of the examination, we discovered that there is a great influence of international stock markets on the capital market operations in Romania.