УСЛОВНИ ХЕТЕРОСКЕДАСТИЧНИ МОДЕЛИ ЗА ПРОЦЕНУ ВОЛАТИЛНОСТИ ВРЕМЕНСКИХ СЕРИЈА
Ključne reči:
Временске серије, волатилност, хетероскедастичност, GARCH модел
Apstrakt
У раду су представљени ARCH и GARCH модели за моделовање и предвиђање волатилности временских серија, као и неке модификације GARCH модела. Приказана је примена ових модела на реалном скупу података временске серије криптовалуте Биткоин.
Reference
[1] John Knight, Stephen Satchell (2007), Forcasting Volatility in the Financial Markets, Third edition, Butterworth – Heinemann
[2] Adam Hayes (20. April 2022), Heteroscedasticity Definition: Simple Meaning and Types Explained, https://www.investopedia.com/terms/h/heteroskedasticity.asp
[3] Ruel S. Tsay (2010), Analysis of Financial Time Series, Third edition, John Wiley and Sons
[4] Tim Bollerslev (1986), Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, Volume 31, Issue 3, pp. 307-327
[5] Chris Brooks (2008), Introductory Econometrics for Finance, Second edition, Cambridge University Press
[6] Peijie Wang (2009), Financial Econometrics, Second edition, Routledgem
[7] David Ruppert (2004), Statistics and Finance, Springer
[8] Jon Danielsson (2011), Financial risk forecasting, John Wiley and Sons
[9] George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel (2008), Time Series Analysis Forecasting and Control, Fourth edition, John Wiley and Sons
[10] Mohamed (3rd November 2016), Model Calibration, https://support.numxl.com/hc/en-us/articles/215115906-Model-Calibration
[11] Hojatallah Goudarzi (2011), Modeling Asymmetric Volatility in the Indian Stock Market, International Journal of Business and Management, Volume 6, No. 3, pp. 221-231
[2] Adam Hayes (20. April 2022), Heteroscedasticity Definition: Simple Meaning and Types Explained, https://www.investopedia.com/terms/h/heteroskedasticity.asp
[3] Ruel S. Tsay (2010), Analysis of Financial Time Series, Third edition, John Wiley and Sons
[4] Tim Bollerslev (1986), Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, Volume 31, Issue 3, pp. 307-327
[5] Chris Brooks (2008), Introductory Econometrics for Finance, Second edition, Cambridge University Press
[6] Peijie Wang (2009), Financial Econometrics, Second edition, Routledgem
[7] David Ruppert (2004), Statistics and Finance, Springer
[8] Jon Danielsson (2011), Financial risk forecasting, John Wiley and Sons
[9] George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel (2008), Time Series Analysis Forecasting and Control, Fourth edition, John Wiley and Sons
[10] Mohamed (3rd November 2016), Model Calibration, https://support.numxl.com/hc/en-us/articles/215115906-Model-Calibration
[11] Hojatallah Goudarzi (2011), Modeling Asymmetric Volatility in the Indian Stock Market, International Journal of Business and Management, Volume 6, No. 3, pp. 221-231
Objavljeno
2024-01-03
Sekcija
Matematika u tehnici
