Calculation of Stationary Random Sequences Extreme Values Characteristics and their Application to Determination of the Volatility of Russian and Foreign Financial Indices and Estimation of the Investment Risk
Estimation methods of stationary random sequences extreme values characteristics are presented in the paper. The econometric models AR(1), GARCH(1,1) are suggested as ones of sequences of extreme values. Computing experi-ments on comparative analysis of the classical econometric models with the normal distribution and the generalized Pareto laws showed efficiency of the econometric ones, offered by the author, for modeling and estimation of the stationary random sequences extreme values characteristics. The obtained results are used for determination of the volatility of Russian and foreign financial indices and estimation of the investment risk.
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- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
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