Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market

Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market

Financial stability analysis requires volatility modeling, especially in emerging nations where pension fund systems are very vulnerable to macrofinancial risks. In order to examine the volatility dynamics of Romania’s private pension system, this study uses daily net asset value (NAV) data from 201...

Full description

Saved in:
Bibliographic Details
Main Authors: Cristiana Tudor, Aura Girlovan, Gabriel Robert Saiu, Daniel Dumitru Guse
Format: Article
Language:English
Published: MDPI AG 2025-03-01
Series:Mathematics
Subjects:
emerging markets
pension fund risk
volatility modeling
volatility clustering
asymmetric conditional heteroskedasticity
leverage effects
Online Access:https://www.mdpi.com/2227-7390/13/7/1134
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://www.mdpi.com/2227-7390/13/7/1134

Similar Items