The Romanian capital market was receiving the shock waves of the financial crisis starting with August 2007. The volatility of its evolutions was corresponding modified as a response to an increased uncertainty trading environment. The objective of this paper is to provide some empirical evidences for a more detailed analysis of these changes by employing a „Component GARCH” model. The main output consists in the finding that both long-run and short-run components of the volatility were affected by structural changes.