• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Article

Моделирование оценки рыночного риска рынков европейских стран в период финансового кризиса 2008 года

Щерба А. В.

The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods - pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the four APARCH(1,1) models and six distribution functions. The results of the investigation show the connection of the model with country's economic development and its financial condition at the different periods of time.