Home  Journals  Financial Analytics: Science and Experience  37(79) - 2011 October

Volatility modeling of the stock market during the crisis

Available online: 19 October 2011

Subject Heading: Stock market

JEL Classification: 

In the article different aspects of the prognostication of volatility of fund markets based on the example of the markets of Great Britain, Germany and Russia are investigated. With the aid of the econometric simulation the comparative analysis of the models of family GARCH is carried out and on the basis of different criteria is selected the optimum model, which the investors during the prognostication of Russian fund market can use.

Keywords: volatility, stock market, econometric modeling, GARCH- modeling

View all articles of issue

ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

Journal current issue

Vol. 17, Iss. 1 March 2024

Archive