Побудова та використання моделей гетероскедастических процесів для моделювання і прогнозування фінансових ризиків
The problem of modelling and forecasting financial risks on the basis of heteroscedastic models is considered. The generalized procedure for construction of such models is proposed. On a particular example the efficiency of use of the procedure is shown. The forecast of behaviour of the variance for...
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| Date: | 2019 |
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| Main Author: | |
| Format: | Article |
| Language: | Ukrainian |
| Published: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2019
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| Online Access: | http://journal.iasa.kpi.ua/article/view/173382 |
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| Journal Title: | System research and information technologies |