ОБЗОР ОТРАСЛИ РОБОТОТЕХНИКИ
Article
Мировые тенденции и перспективы развития инновационной экономики. 2023. P.. 159-163
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.
Authors
Conference proceedings
Publisher
Российский университет дружбы народов (РУДН)
Language
English
Pages
163-167
State
Published
Year
2023
Organizations
- 1 RUDN
Keywords
volatility; models of conditional heteroscedasticity; models of realized volatility; autoregression and moving average models; stochastic volatility models
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Мировые тенденции и перспективы развития инновационной экономики. 2023. P.. 167-173