Application of mathematical models in stock market analysis
Articles
Svetlana Danilenko
Vilnius Gediminas Technical University
Published 2021-06-15
https://doi.org/10.15388/LMR.2007.24240
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Keywords

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.

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.

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