Multifractal approach to prognostics of volume and dynamics of the volatility in unstarle times on markets of financial assets

Abstract

The article considers volatility models, constructed with use multi-fractals theories. The Method which takes into account importance of volatility change direction and allows to predict not only the volatility size, but its dynamics (growth or fall), realized in the development framework of MATLAB, has been offered for a finding of model parameters. Efficiency of the proposed method, application of multifractals theory for construction of volatility models has been proved by the use of the data of seven companies stock value since 2002 on 2010.