ライブラリ登録: Guest
Begell Digital Portal Begellデジタルライブラリー 電子書籍 ジャーナル 参考文献と会報 リサーチ集
Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN 印刷: 1064-2315
ISSN オンライン: 2163-9337

巻:
巻 52, 2020 巻 51, 2019 巻 50, 2018 巻 49, 2017 巻 48, 2016 巻 47, 2015 巻 46, 2014 巻 45, 2013 巻 44, 2012 巻 43, 2011 巻 42, 2010 巻 41, 2009 巻 40, 2008 巻 39, 2007 巻 38, 2006 巻 37, 2005 巻 36, 2004 巻 35, 2003 巻 34, 2002 巻 33, 2001 巻 32, 2000 巻 31, 1999 巻 30, 1998 巻 29, 1997 巻 28, 1996

Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v46.i10.20
pages 11-19

Forecasting the Volatility of Financial Processes with Conditional Variance Models

Petr I. Bidyuk
Institute for Applied System Analysis of National Technical University of Ukraine "Igor Sikorsky Kiev Polytechnic Institute", Kiev
Natalya V. Kuznetsova
Institute for Applied System Analysis of National Technical University of Ukraine "Igor Sikorsky Kiev Polytechnic Institute", Kiev

要約

Three structures of the dynamics models of a conditional variance, that are used for computing short-term predictions on training and test samples, have been estimated. Estimation of the model parameters is made on the basis of the Monte Carlo method for Markov chains. To calculate the estimates of volatility forecasts the prediction function has been obtained on the basis of constructed models. The estimates of the volatility forecasts, calculated on the basis of model of stochastic volatility and E-GARCH models, show similar results, which confirms the correctness of the approach as a whole.


Articles with similar content:

THE APPLICATION OF NON-PARAMETRIC STATISTICS METHODS IN IMAGE CLASSIFIERS BASED ON STRUCTURAL DESCRIPTION COMPONENTS
Telecommunications and Radio Engineering, Vol.79, 2020, issue 10
I. S. Tvoroshenko, O. О. Peredrii, V. О. Gorokhovatskyi, O. A. Kobylin
INTELLIGENT CLASSIFICATION OF BIOPHYSICAL SYSTEM STATES USING FUZZY INTERVAL LOGIC
Telecommunications and Radio Engineering, Vol.78, 2019, issue 14
I. S. Tvoroshenko, V. О. Gorokhovatskyi
The Estimation Method of Time-varying Parameters of Regression Models
Journal of Automation and Information Sciences, Vol.44, 2012, issue 11
Arnold S. Korkhin
IMAGE CLASSIFICATION METHOD MODIFICATION BASED ON MODEL OF LOGIC PROCESSING OF BIT DESCRIPTION WEIGHTS VECTOR
Telecommunications and Radio Engineering, Vol.79, 2020, issue 1
I. S. Tvoroshenko, O. О. Peredrii, V. О. Gorokhovatskyi
USING FUZZY CLUSTERING IN STRUCTURAL METHODS OF IMAGE CLASSIFICATION
Telecommunications and Radio Engineering, Vol.79, 2020, issue 9
I. S. Tvoroshenko, N. V. Vlasenko, V. О. Gorokhovatskyi