Economics, Econometrics and Finance
3 years ago

Revolutionary Forecasting Model Unveiled for Bucharest Stock Exchange Volatility!

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SSRN Electronic Journal
Modeling Volatility: Evidence from the Bucharest Stock Exchange
Erginbay Uğurlu

Paper Summary

The article investigates the volatility of the Bucharest Stock Exchange from 2000 to 2014 using different models. The researchers compared the forecasting power of various models like GARCH, TARCH, EGARCH, and PARCH. The results indicate that the EGARCH model performed the best in predicting the volatility of the BET index.

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