Modele te rinj te volatiliteit ne tregjet financiare:zbatim ne rendimente aksionare te rajonit te ballkanit Volatility models in financial markets: application to a balkan market index

In the last decade, the stock returns volatility has been at the core of theoretical and empirical analysis, thanks to the evolution of technology and new software. The volatility process is concerned with the evolution of conditional variance of the asset return over time. This is a subject of remarkable interest because the variability of asset returns is time dependent and appears in clusters. In this paper, we investigate some new experimental extensions of the Multiplicative Error Model. This model has been introduced by Engle (2002) for positive valued processes and it is specified as the product of a conditionally autoregressive scale factor and an innovation process with positive support. We apply these models to the volatility of ‘STOXX Balkan 50 Equal Weight’ Index, which represents the largest and most liquid companies across eight Balkan countries. We use R 2.12.2 for the optimization, a free package for statistical computing and graphics.