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Визначення величини ризику VaR на основі оцінок параметрів моделі стохастичної волатильності

To describe the dynamics of conditional variance the stochastic volatility model is proposed the structure of which reflects actual changes of variance for financial hetero-scedastic processes. The stochastic volatility model parameters estimates are computed with the Markov chain Monte Carlo techni...

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Bibliographic Details
Date:2012
Main Authors: Bidyuk, P. I., Konovaliuk, M. M.
Format: Article
Language:Ukrainian
Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2012
Online Access:http://journal.iasa.kpi.ua/article/view/71771
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Journal Title:System research and information technologies

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System research and information technologies

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