Analysis of financial risk in the stock market: Pricing modeling of Kazakhmys shares(2007–2014)

摘要

This work examines the time series of the daily prices on the shares of "Kazakhmys" for the last 7 years. The main novelty of this work is that using existing methods we develop our own model for analyzing financial risks for Kazakhstan market. Due to the emerging large gains and losses for the given period, the histogram on the density of price allocation on assets shows "heavy tail". The stochastic volatility model was chosen for investigation of the changes in the period of log-income by the Euler's stochastic method. Parameters of differential equation are characteristic of statistic time series.