MODELING AND FORECASTING OF ZERO-COUPON VOLATILITY FOR ONE-YEAR T-BILLS
The article represents the zero-coupon volatility curve of T-bills as one of the most important indicators of the situation on the financial market, and also discloses a technique for short-term forecasting indicator of Value at Risk (with reference to the interest rate) at its 1-year-old site.
Keywords: federal loan bonds, zero-coupon volatility curve, autoregressive conditional heteroscedasticity, forecasting of Value at Risk.
Vyacheslav M. Kornev, Doctor of Economics, Professor, Vice-chancellor of Extramural and Additional Education; Dmitry S. Danilin, a Master`s Degree student - Samara State University of Economics.