STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS
The simulation of stock price fluctuations is analyzed. The statistical criteria application allows drawing the conclusion on the investigated models’ validity. Alongside with well-known Kolmogorov-Smirnov and Anderson-Darling criteria, comparatively new Christoffersen and Berkowitz criteria are use...
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| Format: | Article |
| Language: | Russian |
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Don State Technical University
2013-12-01
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| Series: | Advanced Engineering Research |
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| Online Access: | https://www.vestnik-donstu.ru/jour/article/view/435 |
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| _version_ | 1849250559946653696 |
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| author | Kirill Valeryevich Kirillov |
| author_facet | Kirill Valeryevich Kirillov |
| author_sort | Kirill Valeryevich Kirillov |
| collection | DOAJ |
| description | The simulation of stock price fluctuations is analyzed. The statistical criteria application allows drawing the conclusion on the investigated models’ validity. Alongside with well-known Kolmogorov-Smirnov and Anderson-Darling criteria, comparatively new Christoffersen and Berkowitz criteria are used to assess interval predictions. Berkowitz criterion is particularly effective when used to assess extreme price leaps within highly volatile periods, since it gives good results also for a small number of observations. It is shown that the customarily used time-series models with normal distribution and with Student distribution are applicable exclusively during relatively stable periods. Under the unstable conditions at the financial markets, models by means of which it is possible to describe a high probability of great price leaps are required. The time-series model with the heavy tailed distribution is studied. The recommendations on the portfolio management under the crisis time are provided on the basis of the performed calculations. |
| format | Article |
| id | doaj-art-d5a1c0ffff0e424ab9e43f8dec9ee92c |
| institution | Kabale University |
| issn | 2687-1653 |
| language | Russian |
| publishDate | 2013-12-01 |
| publisher | Don State Technical University |
| record_format | Article |
| series | Advanced Engineering Research |
| spelling | doaj-art-d5a1c0ffff0e424ab9e43f8dec9ee92c2025-08-20T03:57:12ZrusDon State Technical UniversityAdvanced Engineering Research2687-16532013-12-01137-851410.12737/2014428STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODSKirill Valeryevich Kirillov0Kuban State UniversityThe simulation of stock price fluctuations is analyzed. The statistical criteria application allows drawing the conclusion on the investigated models’ validity. Alongside with well-known Kolmogorov-Smirnov and Anderson-Darling criteria, comparatively new Christoffersen and Berkowitz criteria are used to assess interval predictions. Berkowitz criterion is particularly effective when used to assess extreme price leaps within highly volatile periods, since it gives good results also for a small number of observations. It is shown that the customarily used time-series models with normal distribution and with Student distribution are applicable exclusively during relatively stable periods. Under the unstable conditions at the financial markets, models by means of which it is possible to describe a high probability of great price leaps are required. The time-series model with the heavy tailed distribution is studied. The recommendations on the portfolio management under the crisis time are provided on the basis of the performed calculations.https://www.vestnik-donstu.ru/jour/article/view/435arma-garch modelvalue-at-risk (var)average value-at-risk (avar)time seriesheavy-tailed distributions. |
| spellingShingle | Kirill Valeryevich Kirillov STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS Advanced Engineering Research arma-garch model value-at-risk (var) average value-at-risk (avar) time series heavy-tailed distributions. |
| title | STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS |
| title_full | STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS |
| title_fullStr | STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS |
| title_full_unstemmed | STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS |
| title_short | STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS |
| title_sort | stock market fluctuations simulation within lowly volatile and highly volatile periods |
| topic | arma-garch model value-at-risk (var) average value-at-risk (avar) time series heavy-tailed distributions. |
| url | https://www.vestnik-donstu.ru/jour/article/view/435 |
| work_keys_str_mv | AT kirillvaleryevichkirillov stockmarketfluctuationssimulationwithinlowlyvolatileandhighlyvolatileperiods |