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...
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| Autores principales: | , , , |
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| Formato: | article |
| Lenguaje: | RU |
| Publicado: |
Real Economics Publishing House
2014
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/34a8f12efd7542d6860d3fb6ef6252d9 |
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