Apportioned volatility:model and features

  • В. И. Тинякова
  • Г. Б. Суюнова
Keywords: volatility, distributed volatility, Black-Shouels’es formula, meansquare deviation, exponent VaR, model ARCH

Abstract

Issues of volatility model-building of financial are considered in the article. The concept of “distributed volatility is inducted. The properties of distributed volatility are discussed in details and a model for its evaluation are discussed an details.

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Published
2015-04-13
How to Cite
Тинякова, В. И., & Суюнова, Г. Б. (2015). Apportioned volatility:model and features. Modern Economics: Problems and Solutions, 3, 138-149. Retrieved from https://journals.vsu.ru/meps/article/view/4221
Issue
Vol 3 (2010): march
Section
Статьи