Year of Graduation
Uncertainty And Fuzzy Approaches to Analysis of Stock Market Volatility
Applied Mathematics and Information Science
This work considers the problem of analysis of stock market volatility. The problem of forecasting by using GARCH and Fuzzy GARCH models has been considered. Also some modifications of the models were introduced and investigated. All the models were tested on real-life data from stock market – on MICEX index and RTS index. This work shows that these models accurately predict volatility. At the same time, it is shown that the fuzzy GARCH models have a good potential for further research and improvement of the results.