Title :
Model of estimation of risk with correction of error of prognosis of volotilnost
Author :
Shamsha, Boris ; Ayvazov, Vitaly ; Kuklin, Nick
Author_Institution :
Kharkiv Nat. Univ. of Radio Electron., Kharkiv, Ukraine
Abstract :
In work the problem of construction of model of prognosis of volotilnosti stochastic temporal rows with correction of error is considered, de bene esse got on the current and past informative great number. A model supposes the increase of risk at the increase of degree of volotilnosti. Estimation of volotilnosti row is determined taking into account the error of estimation of model on previous lagah.
Keywords :
error correction; foreign exchange trading; risk analysis; error correction; risk estimation; volotilnost prognosis; volotilnosti row; volotilnosti stochastic temporal rows; GARCH model; Heteroscedasticity; risk; temporal row; volotilnost;
Conference_Titel :
Modern Problems of Radio Engineering, Telecommunications and Computer Science, 2008 Proceedings of International Conference on
Conference_Location :
Lviv-Slavsko
Print_ISBN :
978-966-553-678-9
