Forecasting of financial crises with the help of time series
UDC
519.22:336.144.36Abstract
The authors analyze the results of the time series models application based on the distributions with “heavy tails” for forecasting financial crises in the market. It was shown by means of the actual data of stock exchange quotations that the use of such models leads to the improved evaluation of the fund market risk during financial crises as compared to the commonly used models. The disadvantages of classic time series models are discussed in this article on the basis of the numerical results obtained.
Keywords:
ARMA-GARCH model, Value-at-Risk (VaR), Average Value-at-Risk (AVaR), time series, distribution withFunding information
Работа выполнена при поддержке стипендии Президента России.
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Dates
Submitted
May 19, 2013
Accepted
May 21, 2013
Published
June 24, 2013
How to Cite
[1]
Karmazin, V.N., Kirillov, K.V., Forecasting of financial crises with the help of time series. Ecological Bulletin of Research Centers of the Black Sea Economic Cooperation, 2013, № 2, pp. 39–51.
License
Copyright (c) 2013 Кармазин В.Н., Кириллов К.В.
This work is licensed under a Creative Commons Attribution 4.0 International License.
