Прогнозиране на стойност в риск на базата на GARCH модели и Монте Карло симулация

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...

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Bibliographic Details
Published inГодишник на департамент Администрация и управление Vol. 6; no. 1; pp. 170 - 190
Main Author Tzvetanova, Ekatherina
Format Journal Article
LanguageEnglish
Published Нов български университет 2021
New Bulgarian University
Subjects
Economy
Financial Markets
Value at Risk
Monte Carlo
autoregressive model
forecast
GARCH model
exchange rate
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ISSN1313-4760
1313-4760

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Summary: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.
ISSN:1313-4760
1313-4760