The current article has focused on the comparison of selected variables' development within the Greek equity market, before and after the global financial crisis. There is. An investigation is made through estimating short run forecasts and calculating errors of the both, equity risk premium examined as usual, and capital market risk examined as a sum of selected volatilities. Therefore, the aim of the study is to estimate errors in short run forecasts next-day volatility of selected variables within the Greek capital market. As the estimation method it is used GARCH (1, 1). It is obtained daily data for period from 1999 to March 2014. The results have clearly proved differences between errors in forecasts before the global financial crises and in the period after the Lehman Brother's bankruptcy. The contribution from current study is also within a proof that correlation values as well as previous day significant volatility do not have to be always negative. Finally, it is created a motivation for a future research in that area, too.
