Intellectual Decision Support System for Modeling and Forecasting Nonlinear Nonstationary Financial Processes and Risks Estimation

Анотація

This study shows a possibility for design and implementation of intellectual decision support system (IDSS) for solving the problems of modeling and forecasting nonlinear nonstationary processes (NNP) in finances and using the models for risk estimation. Such processes are met very often in practice and require special attention for performing their analysis; as an example, could be mentioned heteroscedastic processes. The practical methodology is proposed for development intellectual DSS aiming to provide substantial help in analyzing NNP and financial risks of various origin. The methodology includes detailed analysis of possible uncertainties inherent to financial data and the methods are highlighted to fight these uncertainties. The necessity is also stressed for applying several sets of statistical criteria providing for a high quality of intermediate and final results of modeling selected processes, forecasting their evolution and financial risk computing. Some possibilities for improving value-at-risk estimation are considered. Application of the IDSS proved its practical usability and effectiveness. Future improvements of the system are mentioned aiming to refinement of risk estimation and management procedures.

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