Побудова та використання моделей гетероскедастических процесів для моделювання і прогнозування фінансових ризиків
The problem of modelling and forecasting financial risks on the basis of heteroscedastic models is considered. The generalized procedure for construction of such models is proposed. On a particular example the efficiency of use of the procedure is shown. The forecast of behaviour of the variance for...
Збережено в:
| Дата: | 2019 |
|---|---|
| Автор: | |
| Формат: | Стаття |
| Мова: | Ukrainian |
| Опубліковано: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2019
|
| Онлайн доступ: | http://journal.iasa.kpi.ua/article/view/173382 |
| Теги: |
Додати тег
Немає тегів, Будьте першим, хто поставить тег для цього запису!
|
| Назва журналу: | System research and information technologies |
Репозитарії
System research and information technologies| Резюме: | The problem of modelling and forecasting financial risks on the basis of heteroscedastic models is considered. The generalized procedure for construction of such models is proposed. On a particular example the efficiency of use of the procedure is shown. The forecast of behaviour of the variance for the stock prices of the "UKRNAFTA" company is computed. |
|---|