Volatility is one of the most important features of speculative markets. It measures a market’s own characteristics as well as the state of uncertainty which prevails at a given moment in time. We publish in this article the volatility of Bucharest’s bourse main index, the BET, using weekly data and a eGARCH(1,1) model. The results are compared to EuroStoxx 50’s volatility. Our results show that the Rumanian bourse is less reactive than older stock markets. However its volatility trends to converge to that of the EuroStoxx 50 index.
AFTALION, F. (2008). Volatilitatea indicelui BET. Saptamana Financiara, pp. 17.