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
Usanova Y.A. 1
Conference proceedings
Мировые тенденции и перспективы развития инновационной экономики
Publisher
Российский университет дружбы народов (РУДН)
Language
English
Pages
163-167
Status
Published
Year
2023
Organizations
  • 1 RUDN
Keywords
volatility; models of conditional heteroscedasticity; models of realized volatility; autoregression and moving average models; stochastic volatility models
Date of creation
28.12.2023
Date of change
28.12.2023
Short link
https://repository.rudn.ru/en/records/article/record/102764/
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ОБЗОР ОТРАСЛИ РОБОТОТЕХНИКИ

Article
Третьякова С.С.
Мировые тенденции и перспективы развития инновационной экономики. Российский университет дружбы народов (РУДН). 2023. P. 159-163