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  5. Volotility forecast for risk degree rating in dealing information systems

Volotility forecast for risk degree rating in dealing information systems

B. Shamsha, T. Shatovskaya, L. Hristoeva
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The problem of risk degree rating is considered in random time series under heteroscedasticity. The model of forecasting of volotility of series is suggested with a glance an estimation error of model on previous lags. The aufbau principle of GARCH models is suggested for different time series.