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

                                 Dima Bogda , Professor PhD
                                West University from Timisoara
                                  bogdan.dima@feaa.uvt.ro

                                Pirtea Marilen, Professor PhD
                                West University from Timisoara
                                  marilen.pirtea@feaa.uvt.ro

                                Murgea Aurora, Lecturer PhD
                                West University from Timisoara
                                 aurora.murgea@feaa.uvt.ro

                               Mura Petru Ovidiu, PhD student
                               West University from Timisoara
                                murapetruovidiu@yahoo.com


ABSTRACT: The Romanian capital market was receiving the shock waves of the financial
crisis starting with August 2007. The volatility of its evolutions was corresponding modified
as a response to an increased uncertainty trading environment. The objective of this paper is
to provide some empirical evidences for a more detailed analysis of these changes by
employing a „Component GARCH” model. The main output consists in the finding that both
long-run and short-run components of the volatility were affected by structural changes.

Key words: Romanian capital market, financial crisis, Component GARCH, long-run volatility, short-
run volatility

JEL codes: G10,G15