ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES

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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Bibliographic Details
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:
value at risk
garch model
system instability
financial market
Online Access:https://www.jsdrm.ru/jour/article/view/63

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