This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

中文翻译：

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COVID-19 大流行和罗马尼亚股市波动：GARCH 方法

本文研究了 2020 年 1 月至 2021 年 4 月罗马尼亚股票市场每日收益的波动性。波动性通过布加勒斯特证券交易所 (BSE) 的代表性指数，即布加勒斯特交易所交易 (BET) 指数以及12 家公司在 BSE 上交易。使用 GARCH 方法进行定量研究。在调查中，应用 GARCH 模型 (1,1) 来探索 BET 和 BSE 交易股票的波动性。每日回报系列的条件波动率显示出明显的证据表明波动率在探索期间发生变化。2020 年第一季度，罗马尼亚股市波动率上升至非常接近 2007-2009 年全球金融危机期间的水平。在接下来的两个季度中，波动性呈下降趋势。除了，