Konovaliuk M. Information technology for estimation and forecasting of nonlinear nonstationary financial processes

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0413U001368

Thesis Registration Form

0413U001368.pdf

Applicant for

Specialization

  • 05.13.06 - Інформаційні технології

18-02-2013

Specialized Academic Board

Д 02.002.03

Essay

The thesis deals with the problem of development and implementation of a new information technology for solving the problems of modeling and forecasting nonlinear nonstationary processes. The main goal of the research is to enhance the quality of financial processes forecasts. At the next step the forecasts are used for estimation of possible financial losses with VaR methodology. An analysis of existing methods for forecasting financial processes with the use of autoregressive conditionally heteroscedastic models has been performed. It was used for short term forecasting of volatility with further use of the forecasts for risk estimation. A new structure for the stochastic volatility model was proposed.

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Files

aref.doc

dis.doc

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