Исследование моделей оценки волатильности финансовых активов
The parameters of GARCH, EGARCH and GJR-GARCH econometric models were estimated using Dow Jones daily returns. According to the results, asymmetric models with non-Gaussian standardized innovations proved to be the best. For these models, the returns’ conditional variance forecast was made, as well as so called “News Impact Curve”, which shows the effect of previous shocks on the volatility. At the same time, as per Value-at-Risk back-testing, the most acceptable in terms of risk management was the asymmetric GJR-model based on the normal distribution of standardized innovations.