Forecasting volatility of financial parameters: the adaptive approach

  • Valeriy Vladimirovich Davnis Voronezh State University
  • Andrey Borisovich Timchenko Pyatigorsk State University

Abstract

The variant of model of R. Engle in which it is conditional heteroscedastic residuals is offered are predicted with the help of adaptive regress. Computing experiments according to the given variant of model have shown substantial increase of accuracy of a prediction of a level expected volatility. This fact causes interest and focus on continuation of researches in the given direction.

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Published
2006-12-31
How to Cite
Davnis, V. V., & Timchenko, A. B. (2006). Forecasting volatility of financial parameters: the adaptive approach. Proceedings of Voronezh State University. Series: Economics and Management, (2), 269-277. Retrieved from https://journals.vsu.ru/econ/article/view/10135