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ECONOMETRIC MODELING OF INVESTMENT RISK IN THE ART MARKET
Abstract
Nowadays use of statistical tools in the market of art objects remains insufficient. The purpose of this article is the statistical analysis of return dynamics and estimation of investment risks into the art objects. Return modeling is executed on the basis of ARTIMX index, which represents an integrated indicator of art objects prices change. In the frames of this investigation, we use the Dickey-Fuller criterion for stationarity testing of net returns time series and the Ljung-Box test to check the autocorrelation of time series. Dynamics of investment risk into the art market is studied with the help of GARCH volatility model by means of model order selection according to Schwarz information criterion on which platform the indicator of VaR risk is calculated. It is proved, that a time series of investment returns into the art market represents the sequence of independent random variables and, therefore, it is optimum to use zero value as the short-term forecast of return level. The volatility in time is inertial according to the estimated GARCH model for conditional variance of return time series. The estimation of investment risk into the art market - 11,7 \% at the level of significance 0,99 is received.
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