Information technology of creation forecasting models of non-linear time series in the conditions of heteroscedasticity

Authors

  • Борис Владимирович Шамша Кафедра информационных управляющих систем Харьковский национальный университет радиоэлектроники, Ukraine
  • Анастасия Юрьевна Гуд Кафедра информационных управляющих систем Харьковский национальный университет радиоэлектроники, Ukraine
  • Андрей Николаевич Одейчук Кафедра информационных управляющих систем Харьковский национальный университет радиоэлектроники, Ukraine

DOI:

https://doi.org/10.15587/1729-4061.2010.2557

Keywords:

heteroscedasticity, volatility, risk, GARCH model, time series

Abstract

This article represents a problem of developing a procedure for pre-processing information in heteroscedasticity. It is proposed to use the statistics of recursive residuals to improve the capacity of standard tests to check ARCH processes.

Author Biographies

Борис Владимирович Шамша, Кафедра информационных управляющих систем Харьковский национальный университет радиоэлектроники

Кандидат технических наук, профессор

Анастасия Юрьевна Гуд, Кафедра информационных управляющих систем Харьковский национальный университет радиоэлектроники

Аспирант

Андрей Николаевич Одейчук, Кафедра информационных управляющих систем Харьковский национальный университет радиоэлектроники

Аспирант

References

  1. Engle, R.F. Estimates of the variance of US Inflation Based on the ARCH model // Journal of Money, Credit and Banking, v.15, 1983, pp.286-301.
  2. Bollerslev, Tim, Ray At. Chou and Kenneth F. Kroner. ARCH Modeling in Finance: And review of the theory and empirical evidence//Journal of econometrics, v.52, 1992, pp.5-59.
  3. Шамша Б.В., Гуржій А.М., Дудар З.В., Левикін В.М. Математичне забезпечення інформаційно-управляючих систем// Підручник для студентів ВНЗ. – Харьков: ТОВ Компанія СМІТ, 2005. – 448 с.

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How to Cite

Шамша, Б. В., Гуд, А. Ю., & Одейчук, А. Н. (2012). Information technology of creation forecasting models of non-linear time series in the conditions of heteroscedasticity. Eastern-European Journal of Enterprise Technologies, 1(4(43), 58–61. https://doi.org/10.15587/1729-4061.2010.2557

Issue

Vol. 1 No. 4(43) (2010): Information technology

Section

Information technology

License

Copyright (c) 2014 Борис Владимирович Шамша, Анастасия Юрьевна Гуд, Андрей Николаевич Одейчук

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