sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in …

, but the data generating process is shown to be non-linear. A non-linear GARCH model is then applied, achieving a good …

clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach …, the ARMA-GARCH process is run assuming alternatively that the standardized residuals are distributed with Pearson Type IV …, Johnson SU, Manly’s exponential transformation, normal and t-distributions. In the second ap- proach, the ARMA-GARCH process …

– Modified GARCH model (c) Return and Volatility - ARMA-GARCH in mean model – Innovations Model. The findings of the paper …