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...
Guardado en:
| Autores principales: | , , , |
|---|---|
| Formato: | article |
| Lenguaje: | RU |
| Publicado: |
Real Economics Publishing House
2014
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/34a8f12efd7542d6860d3fb6ef6252d9 |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Sea el primero en dejar un comentario!