RECENT CHANGES ON ROMANIAN CAPITAL MARKET’S VOLATILITY IN THE FRAMEWORK OF A COMPONENT GARCH MODEL

The Romanian capital market was receiving the shock waves of the financialcrisis starting with August 2007. The volatility of its evolutions was corresponding modifiedas a response to an increased uncertainty trading environment. The objective of this paper isto provide some empirical evidences for a more detailed analysis of these changes byemploying a Component GARCH model. The main output consists in the finding that bothlong-run and short-run components of the volatility were affected by structural changes.