?
Сравнение моделей оценок VAR на интервалах прогнозирования разной срочности для акций российского фондового рынка
Прикладная эконометрика. 2011. № 4. С. 58-70.
Щерба А. В.
The paper aims at finding the most accurate VaR model for the four most liquid Russian stocks. Among the possible VaR modeling techniques, the estimates considered in this work are based on GARCH models with six different distributions. A back testing analysis is performed to evaluate the accuracy of the alternative models and to find the worst predictable period in terms of the volatility behavior.
Lakshina V. V., / Высшая школа экономики. Series FE "Financial Economics". 2014. No. 37.
The paper proposes the thorough investigation of in-sample and out-of-sample performance of four GARCH and two stochastic volatility models, estimated on the Russian financial data. The data includes prices of Aeroflot and Gazprom stocks and Ruble against US dollar exchange rates. In our analysis we use probability integral transform for in-sample comparison and Mincer-Zarnowitz regression ...
Added: October 2, 2014
Juri Trifonov, Potanin B., / SSRN. Series "Working Papers". 2022.
We proposed the new method (GARCH-M-LEV) that allows capturing the asymmetry both in the variance and return equations. The development of the model is encouraged by the stylized fact that investors demand a higher risk premium during ”bad” volatility periods rather than ”good” ones. To study the properties of the obtained estimators, we conducted a ...
Added: November 22, 2022
Моделирование оценки рыночного риска рынков европейских стран в период финансового кризиса 2008 года
Щерба А. В., Прикладная эконометрика 2012 № 3 С. 20-35
The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods - pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the four APARCH(1,1) models and six ...
Added: December 2, 2012
Malakhov D., Stankevich I., - 2016
We propose new GARCH model, which have two separate errors - negative and positive shocks, which are connected by copula. First estimation results showed, that this model, despite of very complicated routine of likelihood function maximizing, outperformed standard models. ...
Added: October 16, 2015
Kuznetsova O., Ulyanova S., AlterEconomics (ранее - Журнал экономической теории) 2016 № 4 С. 18-27
В данной работе исследуется влияние информационной политики Банка России на индексы ММВБ и РТС в 2014-2015 гг. Для этого конструируется информационный индекс, учитывающий источник и содержание вербальных интервенций представителей Банка России в указанный период. Затем на дневных данных оцениваются GARCH-модели, позволяющие выявить влияние данного индекса как на средние значения, так и на волатильность фондовых показателей. ...
Added: October 13, 2016
Borzykh D., Khasykov M., Yazykov A., Вестник Воронежского государственного университета. Серия: Экономика и управление 2017 № 2 С. 97-105
The article proposes a new method of structural breaks detection in time series in the piecewise-specified GARCH-models. The method is based on the moving likelihood ratio statistics. In case of absence of structural breaks lower and upper 95 %- and 99 %- bounds were found for the likelihood ratio statistics. The criterion of structural breaks ...
Added: April 28, 2017
Teplova T., Рузанов Д. П., Управление корпоративными финансами 2014 № 5(65) С. 286-296
В работе представлен сравнительный анализ точности трех методов оценки показателя риска VaR на основе прошлых данных: стандартного исторического VaR, экспоненциально взвешенного VaR и скорректированного на волатильность доходности VaR с использованием EGARCH-моделей. Проверка осуществлялась с использованием двух критериев, устанавливающих точность оценок VaR с учетом частоты пробоев и их амплитуды, — UC (Unconditional Coverage Hypothesis) и IND ...
Added: December 22, 2014
Lakshina V. V., Silaev A. M., Economics Bulletin 2016 Vol. 36 No. 4 P. 2368-2380
The paper proposes the thorough investigation of in-sample and out-of-sample performance of five GARCH and two stochastic volatility models, estimated on the Russian financial data. The data includes prices of Aeroflot and Gazprom stocks and Ruble against US dollar exchange rates. In our analysis we use probability integral transform for in-sample comparison and Mincer-Zarnowitz regression ...
Added: December 27, 2016
Berzon N. I., Смирнов А. А., Piliugin G. V., Финансы и бизнес 2018 Т. 14 № 3 С. 19-35
Nowadays investors are facing changing conditions of global financial markets and should evaluate risks correctly. The most crucial factor is market risk that defines financial stability and investment results of professional participants at financial market and its clients. One of the characteristics of American stocks are higher volatility during financial report announcements. Common VaR methodology ...
Added: November 28, 2018
Demeshev B., Malakhovskaya O. A., / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2015. No. 105.
This paper evaluates the forecast performance of Bayesian vector autoregressions on Russian data. We estimate BVAR models of different size and compare the accuracy of their out-of-sample forecasts with those obtained with unrestricted VARs and RW with drift. We show that many Russian macroeconomic indicators can be forecast by Bayesian VAR more accurately than by ...
Added: October 23, 2015
Khasyanova S. Y., М. : ИНФРА-М, 2020
The book is devoted to assessment and management of banking risks based on international approaches. The application of the methods of assessment, management and risk minimization in commercial banks is considered both in the context of adaptation of the international recommendations and standards in the banking sector of the Russian Federation, as well as in ...
Added: December 6, 2020
Penikas H. I., Surkov M., / Universita di Pavia, Dipartimento di Scienze Economiche e Aziendali. Series ISSN: 2281-1346 "DEM Working Papers Series 2018-2020". 2018. No. 166.
Deregulation is often claimed to be the cause for financial distress. Thus it has to lead to financial defaults and losses. However, exact dependence is not clear. To verify it we tried to investigate the roots of world largest financial losses. As we found no source to extensively and completely cover those, we decided to ...
Added: October 16, 2018
Telegin O., Merzlyakov S., AlterEconomics (ранее - Журнал экономической теории) 2019 № 4 С. 654-672
This paper is devoted to the analysis of the Bank of Russia verbal interventions from 2014 to 2017 and relationship between verbal interventions and interest rates in Russian economy. As verbal interventions of the regulator, all statements made by officials of the Bank of Russia were examined, as well as statements by the press service ...
Added: October 23, 2019
Demeshev B., Malakhovskaya O. A., / Высшая школа экономики. Серия WP12 "Научные доклады лаборатории макроэкономического анализа". 2015. № 3.
This paper compares the forecasting performance of random walk, frequentist vector autoregression (VAR), and Bayesian vector autoregression with Minnesota prior (BVAR) models while forecasting the industrial production index, consumer price index and the interbank interest rate. We show that the BVAR provides a more accurate forecast than the standard VAR. For all three macroindicators of ...
Added: December 19, 2015
Malakhov D., Риск-менеджмент в кредитной организации 2015 № 4(20) С. 72-88
The structure of banking industry is highly connected with risks of defaults (Acemoglu, Ozdaglar, Tahbaz-Salehi (2015)). Thus, unexpected and abrupt changes of distributions of banking assets, credits as well as deposits can be good predictors for crisis events in the banking industry. This paper considers the structure of Russian banking industry. The industry structure has ...
Added: October 16, 2015
Juri Trifonov, Bogdan Potanin, HSE Economic Journal 2022 Vol. 26 No. 4 P. 623-646
This study raises the problem of modeling conditional volatility under the random shocks’ normality assumption violation. To obtain more accurate estimates of GARCH process parameters and conditional volatilities, we propose two semi-nonparametric GARCH models. The implementation of the proposed methods is based on an adaptation of the [Gallant, Nychka, 1987] semi-nonparametric method to the family ...
Added: December 6, 2022
Borzykh D., Khasykov M., Yazykov A., Труды Московского физико-технического института 2017 Т. 9 № 3 С. 115-121
In this article we propose a new method of structural breaks detection for GARCHmodels called V-MLR. We use two numerical experiments consisting of 10 000 simulations to compare our V-MLR method with the well-known CUSUM method. In the first experiment with a single structural break V-MLR method found the correct number of structural breaks in ...
Added: July 12, 2017
Teplova T., Рузанов Д. П., Управление корпоративными финансами 2014 № 6(66) С. 342-359
В работе представлен сравнительный анализ точности трех методов оценки показателя риска VaR на основе прошлых данных: стандартного исторического VaR, экспоненциально взвешенного VaR и скорректированного на волатильность доходности VaR с использованием EGARCH-моделей. Проверка осуществлялась с использованием двух критериев, устанавливающих точность оценок VaR с учетом частоты пробоев и их амплитуды, — UC (Unconditional Coverage Hypothesis) и IND ...
Added: December 22, 2014
Zhemkov M., Kuznetsova O., Журнал Новой экономической ассоциации 2019 Т. 2 № 42 С. 49-69
Stability of inflation expectations is a necessary part of inflation targeting. Among many factors that may affect the dynamics of inflation expectations, one of the most important is the communication policy of the central bank and representatives of the government. This paper measures the effectiveness of verbal interventions by the Government and the Bank of Russia on the high-frequency ...
Added: July 14, 2019
Demeshev B., Malakhovskaya O. A., Экономический журнал Высшей школы экономики 2016 Т. 20 № 4 С. 691-710
This paper compares the forecasting performance of random walk, frequentist vector autoregression (VAR), and Bayesian vector autoregression with Minnesota prior (BVAR) models on quarterly Russian data sample running from 1995 to 2014. Maximal number of variables included in the model is equal to 14 that requires an endogenous search of optimal shrinkage hyperparameter. The search ...
Added: December 9, 2016
Kuznetsova O., Ulyanova S., Экономический журнал Высшей школы экономики 2018 Т. 22 № 2 С. 228-250
This paper measures the effects of the Russian Government and the Bank of Russia’s verbal interventions on the USD/RUB exchange rate. To take into account the verbal interventions by the Bank of Russia, we analyze the announcements made by the members of its Board of Directors and by the press-service. Concerning the communication policy of ...
Added: September 14, 2018
Borzykh D., Khasykov M., Прикладная эконометрика 2018 Т. 51 С. 126-139
We suggest a hybrid algorithm for structural breaks detection when using a class of piecewise-specified GARCH(1,1) models. The algorithm comprises two steps. In the first step the moments of structural breaks are detected using KL-ICSS method based on (Kokoszka, Leipus, 1999) and (Inclán, Tiao, 1994). In the second step previously detected moments of structural breaks ...
Added: September 9, 2018
Borzykh D., Yazykov A., Прикладная эконометрика 2019 Т. 54 С. 90-104
We propose a new method of a structural break detection for GARCH(1,1) model. This new method is called the KS method since it is based on Kolmogorov-Smirnov statistics. By using Monte-Carlo experiments we show that the KS method has good statistical properties. We compare our method with three well-known CUSUM methods: (Kokoszka, Leipus, 1999) referred ...
Added: March 28, 2019
Malakhovskaya O. A., Вопросы экономики 2016 № 12 С. 129-146
The article compares the accuracy of point forecasts made with a structural dynamic stochastic general equilibrium model (DSGE) to those made with vector autoregressions estimated by OLS (VAR) and by Bayesian methods (BVAR).The main question addressed in the article is whether DSGE-based forecasts are as accurate as non-structural model forecasts. The comparison is made on ...
Added: December 9, 2016