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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...

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Principais autores: Cristiana Tudor, Aura Girlovan, Gabriel Robert Saiu, Daniel Dumitru Guse
פורמט: Artigo
שפה:Inglês
יצא לאור: MDPI AG 2025-03-01
סדרה:Mathematics
נושאים:
emerging markets
pension fund risk
volatility modeling
volatility clustering
asymmetric conditional heteroskedasticity
leverage effects
גישה מקוונת:https://www.mdpi.com/2227-7390/13/7/1134
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