ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
https://doi.org/10.17747/2078-8886-2013-1-70-75
Abstract
The new method of estimation of the values of the VaR using the modified GARCH model is presented, effectively assessing risks as in the quiet periods of financial market and at the same time the system instabilities.
To check the efficiency of the estimation of the VaR used for statistics, calculated as on total time interval, and in the sliding window. Results of local and global use of these statistics are in good agreement with each other, with the statistics computed in sliding window provide information about the uniformity of the effectiveness of calculating VaR. In particular, the effectiveness of the assessment of VaR practically did not change during the periods of the significant rise in prices in comparison with the «quiet» periods.
About the Authors
I. E. Denezhkina
Financial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional Education
Russian Federation
Candidate of Technical Sciences, Associate Professor, Head of Theory of Probability and Mathematical Statistics Chair, specialist in mathematical modeling of dynamic processes and management systems. Research interests: mathematical modeling in finance and economics.
Russian Federation
Candidate of Technical Sciences, Associate Professor, Head of Theory of Probability and Mathematical Statistics Chair, specialist in mathematical modeling of dynamic processes and management systems. Research interests: mathematical modeling in finance and economics.
G. N. Martirosyan
Financial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional Education
Russian Federation
The student of Applied Mathematics and Information Technologies Department. Research interests: mathematical modeling and analysis of complex systems.
Russian Federation
The student of Applied Mathematics and Information Technologies Department. Research interests: mathematical modeling and analysis of complex systems.
V. YU. Popov
Financial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional Education
Russian Federation
Doctor of Physics and Mathematics, Professor, Head of Applied Mathematics Chair, specialist in mathematical modeling of complex processes and systems. Research interests: econophysics, mathematical modeling of developing systems.
Russian Federation
Doctor of Physics and Mathematics, Professor, Head of Applied Mathematics Chair, specialist in mathematical modeling of complex processes and systems. Research interests: econophysics, mathematical modeling of developing systems.
A. B. Shapoval
Financial University under the Government of the Russian Federation Federal State Budgetary Educational Institution of Higher Professional Education; The Institute of Earthquake Prediction Theory of the Russian Academy of Sciences
Russian Federation
Doctor of Physics and Mathematics, Associate Professor, Professor of Applied Mathematics Chair, the senior researcher, the specialist in mathematical modeling of nonlinear stochastic processes. Research interests: mathematical modeling in finance and economics, complex systems, extreme weather conditions.
Russian Federation
Doctor of Physics and Mathematics, Associate Professor, Professor of Applied Mathematics Chair, the senior researcher, the specialist in mathematical modeling of nonlinear stochastic processes. Research interests: mathematical modeling in finance and economics, complex systems, extreme weather conditions.
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Review
For citations:
Denezhkina I.E., Martirosyan G.N., Popov V.Yu., Shapoval A.B. ASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES. Strategic decisions and risk management. 2013;(1):70-75. (In Russ.) https://doi.org/10.17747/2078-8886-2013-1-70-75
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