Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat LCCN Permalink Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Volatility forecasting as a way of financial risks management
Available online: 26 October 2010 Subject Heading: Financial management JEL Classification:
Making investment decisions in the situation of instability on the financial asserts a market is one of the actual problems for investors. One of the ways of financial risks management is volatility forecasting. In the present work, various volatility models have been considered and there has been proposed a method which takes into account importance of volatility change direction and allows to predict not only the volatility size, but its dynamics (growth or fall) as well. Efficiency of the proposed method has been proved by the use of the data of four companies stock value. Keywords: volatility, volatility models, genetic algorithms, financial assets |
ISSN 2311-8709 (Online)
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