STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS

STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS

The simulation of stock price fluctuations is analyzed. The statistical criteria application allows drawing the conclusion on the investigated models’ validity. Alongside with well-known Kolmogorov-Smirnov and Anderson-Darling criteria, comparatively new Christoffersen and Berkowitz criteria are use...

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Bibliographic Details
Main Author:	Kirill Valeryevich Kirillov
Format:	Article
Language:	Russian
Published:	Don State Technical University 2013-12-01
Series:	Advanced Engineering Research
Subjects:	arma-garch model value-at-risk (var) average value-at-risk (avar) time series heavy-tailed distributions.
Online Access:	https://www.vestnik-donstu.ru/jour/article/view/435

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