Open AccessApplication of mathematical models in stock market analysis
Author(s) -
Svetlana Danilenko
Publication year - 2021
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2007.24240
Subject(s) - econometrics , ewma chart , autoregressive conditional heteroskedasticity , logarithm , volatility (finance) , stock market index , financial economics , stock market , index (typography) , stock (firearms) , economics , statistics , mathematics , computer science , engineering , geography , mechanical engineering , mathematical analysis , process (computing) , control chart , world wide web , operating system , context (archaeology) , archaeology
This paper describes several methods for modulating of the stocks volatility through use of variance, EWMA and GARCH models. Results are presented using logarithmic return of the Lithuanian OMXV index.