Home  Journals  Economic Analysis: Theory and Practice  8(173) - 2010 March

Volatility modeling of financial time series

Available online: 11 March 2010

Subject Heading: ECONOMIC AND MATHEMATICAL SIMULATION

JEL Classification: 

Global financial crisis reveals the problem of financial risk management quality. Most of the modern quantitative models are based on statistical properties of financial markets, dynamics of risk factors volatility in particular. This work presents different MGARCH class models, which allow to catch “volatility clustering” effect. Estimation and comparison of models are made for some Russian shares in S-PLUS. Also calculations for DCC-GARCH are made in VBA MS Excel.

Keywords: econometrics, heteroskedasticity, volatility, MGARCH, S-PLUS

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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