Constructing and using heteroscedastic process models in modelling and forecasting financial risks
Abstract
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.Downloads
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Methods of system analysis and control in conditions of risk and uncertainty