ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES

The new method of estimation of the values of the VaR using the modified GARCH model is presented, effectively assessing risks as in the quiet periods of financial market and at the same time the system instabilities.To check the efficiency of the estimation of the VaR used for statistics, calculate...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	I. E. Denezhkina, G. N. Martirosyan, V. YU. Popov, A. B. Shapoval
Formato:	article
Lenguaje:	RU
Publicado:	Real Economics Publishing House 2014
Materias:	value at risk garch model system instability financial market Risk in industry. Risk management HD61
Acceso en línea:	https://doaj.org/article/34a8f12efd7542d6860d3fb6ef6252d9
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:34a8f12efd7542d6860d3fb6ef6252d9
record_format	dspace
spelling	oai:doaj.org-article:34a8f12efd7542d6860d3fb6ef6252d92021-11-19T10:41:56ZASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES2618-947X2618-998410.17747/2078-8886-2013-1-70-75https://doaj.org/article/34a8f12efd7542d6860d3fb6ef6252d92014-10-01T00:00:00Zhttps://www.jsdrm.ru/jour/article/view/63https://doaj.org/toc/2618-947Xhttps://doaj.org/toc/2618-9984The new method of estimation of the values of the VaR using the modified GARCH model is presented, effectively assessing risks as in the quiet periods of financial market and at the same time the system instabilities.To check the efficiency of the estimation of the VaR used for statistics, calculated as on total time interval, and in the sliding window. Results of local and global use of these statistics are in good agreement with each other, with the statistics computed in sliding window provide information about the uniformity of the effectiveness of calculating VaR. In particular, the effectiveness of the assessment of VaR practically did not change during the periods of the significant rise in prices in comparison with the «quiet» periods.I. E. DenezhkinaG. N. MartirosyanV. YU. PopovA. B. ShapovalReal Economics Publishing House articlevalue at riskgarch modelsystem instabilityfinancial marketRisk in industry. Risk managementHD61RU Strategičeskie Rešeniâ i Risk-Menedžment, Vol 0, Iss 1, Pp 70-75 (2014)
institution	DOAJ
collection	DOAJ
language	RU
topic	value at risk garch model system instability financial market Risk in industry. Risk management HD61
spellingShingle	value at risk garch model system instability financial market Risk in industry. Risk management HD61 I. E. Denezhkina G. N. Martirosyan V. YU. Popov A. B. Shapoval ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
description	The new method of estimation of the values of the VaR using the modified GARCH model is presented, effectively assessing risks as in the quiet periods of financial market and at the same time the system instabilities.To check the efficiency of the estimation of the VaR used for statistics, calculated as on total time interval, and in the sliding window. Results of local and global use of these statistics are in good agreement with each other, with the statistics computed in sliding window provide information about the uniformity of the effectiveness of calculating VaR. In particular, the effectiveness of the assessment of VaR practically did not change during the periods of the significant rise in prices in comparison with the «quiet» periods.
format	article
author	I. E. Denezhkina G. N. Martirosyan V. YU. Popov A. B. Shapoval
author_facet	I. E. Denezhkina G. N. Martirosyan V. YU. Popov A. B. Shapoval
author_sort	I. E. Denezhkina
title	ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
title_short	ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
title_full	ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
title_fullStr	ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
title_full_unstemmed	ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
title_sort	assessment of market volatility dynamics in the periods of systemic instabilities
publisher	Real Economics Publishing House
publishDate	2014
url	https://doaj.org/article/34a8f12efd7542d6860d3fb6ef6252d9
work_keys_str_mv	AT iedenezhkina assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities AT gnmartirosyan assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities AT vyupopov assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities AT abshapoval assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities
_version_	1718420251134132224

ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES

Ejemplares similares