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: | I. E. Denezhkina, G. N. Martirosyan, V. YU. Popov, A. B. Shapoval |
---|---|
Format: | Article |
Language: | Russian |
Published: |
Real Economics Publishing House
2014-10-01
|
Series: | Стратегические решения и риск-менеджмент |
Subjects: | |
Online Access: | https://www.jsdrm.ru/jour/article/view/63 |
Similar Items
-
Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis
by: Han Ching Huang, et al.
Published: (2015-06-01) -
Exploring Volatility clustering financial markets and its implication
by: Samuel Tabot Enow
Published: (2023-09-01) -
STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS
by: Kirill Valeryevich Kirillov
Published: (2013-12-01) -
The implication of cryptocurrency volatility on five largest African financial system stability
by: Tonuchi E. Joseph, et al.
Published: (2024-01-01) -
The Spill-Over Effects of Cryptocurrencies on Equity and Bonds Market
by: Tshembhani M. HLONGWANE
Published: (2023-07-01)