Open AccessASSESSMENT OF MARKET VOLATILITY DYNAMICS IN THE PERIODS OF SYSTEMIC INSTABILITIES
Author(s) -
И. Е. Денежкина,
Г. Н. Мартиросян,
Viktor Popov,
Alexander Shapoval
Publication year - 2014
Publication title -
strategičeskie rešeniâ i risk-menedžment
Language(s) - English
Resource type - Journals
eISSN - 2618-9984
pISSN - 2618-947X
DOI - 10.17747/2078-8886-2013-1-70-75
Subject(s) - volatility (finance) , econometrics , autoregressive conditional heteroskedasticity , economics , statistics , sliding window protocol , financial market , quiet , estimation , mathematics , computer science , window (computing) , finance , physics , management , quantum mechanics , operating system
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.