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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Real Economics Publishing House
2014-10-01
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| Series: | Стратегические решения и риск-менеджмент |
| Subjects: | |
| Online Access: | https://www.jsdrm.ru/jour/article/view/63 |
| _version_ | 1797403342992834560 |
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| 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 |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-03-09T02:37:16Z |
| format | Article |
| id | doaj.art-34a8f12efd7542d6860d3fb6ef6252d9 |
| institution | Directory Open Access Journal |
| issn | 2618-947X 2618-9984 |
| language | Russian |
| last_indexed | 2024-03-09T02:37:16Z |
| publishDate | 2014-10-01 |
| publisher | Real Economics Publishing House |
| record_format | Article |
| series | Стратегические решения и риск-менеджмент |
| spelling | doaj.art-34a8f12efd7542d6860d3fb6ef6252d92023-12-06T08:28:10ZrusReal Economics Publishing HouseСтратегические решения и риск-менеджмент2618-947X2618-99842014-10-0101707510.17747/2078-8886-2013-1-70-7577ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIESI. E. Denezhkina0G. N. Martirosyan1V. YU. Popov2A. B. Shapoval3Financial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional EducationFinancial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional EducationFinancial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional EducationFinancial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional Education; The Institute of Earthquake Prediction Theory of the Russian Academy of SciencesThe 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.https://www.jsdrm.ru/jour/article/view/63value at riskgarch modelsystem instabilityfinancial market |
| spellingShingle | I. E. Denezhkina G. N. Martirosyan V. YU. Popov A. B. Shapoval ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES Стратегические решения и риск-менеджмент value at risk garch model system instability financial market |
| title | 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_short | ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES |
| title_sort | assessment of market volatility dynamics in the periods of systemic instabilities |
| topic | value at risk garch model system instability financial market |
| url | https://www.jsdrm.ru/jour/article/view/63 |
| work_keys_str_mv | AT iedenezhkina assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities AT gnmartirosyan assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities AT vyupopov assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities AT abshapoval assessmentofmarketvolatilitydynamicsintheperiodsofsystemicinstabilities |