Abstract
Modeling and forecasting the volatility of stock markets has been one of the major topics in financial econometrics in the last years. The aim of the study is to evaluate the forecasting performance of GARCH-type models in terms of their in-sample and out-of-sample forecasting accuracy in the case of Romanian stock market. We use daily stock index return data from Romania (BET index) covering the period 09/03/2001 to 02/29/2012.We find that the TGARCH model is the most successful in forecasting the volatility of BET index. Our results have important significance in the calculation of Value-at-Risk (VaR) and in risk management process.
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