Прогнозиране на стойност в риск на базата на GARCH модели и Монте Карло симулация
Forecasting value at risk based on GARCH models and Monte Carlo simulation
Author(s): Ekatherina TzvetanovaSubject(s): Economy, Financial Markets
Published by: Нов български университет
Keywords: GARCH model; forecast; Monte Carlo; Value at Risk; ex-change rate; autoregressive model
Summary/Abstract: This study compares GARCH models and Markov switching GARCH models in their ability to estimate and forecasting the volatility of BGN/ USD exchange rate. The aim is to check if the widely accepted forecasting models on the global markets work for the developing financial markets. In addition, Monte Carlo simulation was applied to forecast the variation used to calculate Value at Risk (VaR). The accepted level of significance of the VaR forecast is at 1 and 5% for 1-, 5-, and 10-days data. The conclusions are derived based on the results.
Journal: Годишник на департамент "Администрация и управление"
- Issue Year: 6/2021
- Issue No: 1
- Page Range: 170-190
- Page Count: 21
- Language: English, Bulgarian