OVERVIEW OF MODELS FOR STOCK MARKET VOLATILITY ANALYSIS AND FORECASTING

The article discusses the phenomenon of volatility in the stock market. The most popular models for analyzing and forecasting the volatility of financial assets are given: GRACH, HAR-RV, ARMA, ARSV. The main features, advantages, and disadvantages of models of different classes are described.

Авторы
Издательство
Российский университет дружбы народов (РУДН)
Язык
English
Страницы
163-167
Статус
Published
Год
2023
Организации
  • 1 RUDN
Ключевые слова
volatility; models of conditional heteroscedasticity; models of realized volatility; autoregression and moving average models; stochastic volatility models
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