Modeling the Volatility Of the BET-FI Index

PhD  Dan Ion Gherguţ
„Titu Maiorescu” University – Bucharest
PhD Bogdan Oancea
„Nicolae Titulescu” University – Bucharest
PhD Claudia Căpăţînă
Hyperion University – Bucharest


In this paper we conducted an analysis of stock market risk in Romania, namely on the basis of BET-FI sectoral index (Bucharest Exchange Trading Investment Funds) volatility, developed by the Bucharest Stock Exchange (BSE). We tried to identify an econometric model to model the volatility of the BET-FI index. The analysis was performed using GARCH models, which are very useful tools applied in financial econometrics. In the case study we have identified the best model for analyzing the BET-FI index volatility for the period 03.01.2008 – 04.12.2013 (1332 daily values​​) and we noticed which are the periods with more pronounced volatility.

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Romanian Statistical Review 7/2013