volatility exponentially weighted moving average GARCH
How to Cite
Danilenko, S. (2021) “Application of mathematical models in stock market analysis”, Lietuvos matematikos rinkinys, 47(spec.), pp. 442–447. doi:10.15388/LMR.2007.24240.
Application of mathematical models in stock market analysis
Abstract
This paper describes several methods for modulating of the stocks volatility through use of variance, EWMA and GARCH models. Results are presented using logarithmic return of the Lithuanian OMXV index.
