HYPERION ECONOMIC JOURNAL

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• Radu Lupu, Affiliation: Institute for Economic Forecasting, Bucharest, Romania;
• Adrian Cantemir Călin, Affiliation: Institute for Economic Forecasting, Bucharest, Romania;
• Iulia Lupu, Affiliation: "Victor Slăvescu" Centre for Financial and Monetary Research, Bucharest, Romanian Academy;
• Oana Cristina Popovici, Affiliation: Institute for Economic Forecasting, Bucharest, Romania.

This article studies the convergence of risk on a sample of 13 European indexes. We use a set of 31 model specifications of a significant number of models belonging to the GARCH class and on their estimates we build an aggregate index in a Value-at-Risk approach. We use this index as a base for our convergence analysis. The results indicate a positive and significant tendency of convergence growth for the European financial market.

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