KOREYA FOND BOZORIDA TINCH VA NOTINCH SHAROITLARDA RISKKA DUCHOR BO‘LGAN QIYMAT (VAR) BASHORATINING NAMUNADAN TASHQARI SAMARADORLIGI
DOI:
https://doi.org/10.5281/zenodo.23834931Annotatsiya
Xavf modellari odatda uzoq davr bo‘yicha o‘rtacha samaradorlik asosida baholanadi, biroq moliya bozorlari tinch va notinch holatlar o‘rtasida almashinib turadi, bu esa turli modellashtirish yondashuvlarini talab qilishi mumkin. Ushbu maqolada Koreya fond bozori (KOSPI) misolida alohida volatillik rejimlarini aniqlash ayrim volatillik modellarining bozor notinch holatga o‘tganda nima sababdan boshqalariga nisbatan ishonchliroq bashorat berishini tushuntirishga yordam berish-bermasligi o‘rganiladi.Kalit soʻzlar
rejim almashinuvi, KOSPI, GARCH, riskka duchor bo‘lgan qiymat (VaR), orqaga qaytish testi (backtesting), bozor notinchligiFoydalanilgan adabiyotlar roʻyxati
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