Home  Journals  Economic Analysis: Theory and Practice  24(189) - 2010 August

The use of volatility models for market risk estimation

Available online: 20 August 2010

Subject Heading: Economic-mathematical modelling

JEL Classification: 

Most of the modern quantitative models are based on statistical properties of financial markets, dynamics of risk factors volatility in particular. In this work we compare the quality of different volatility models for market risk forecasts of some Russian equities.

Keywords: VaR, GARCH, realized volatility, back testing, risk management

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

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