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Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts?
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 along with classical forecast performance measures for out-of-sample comparison. Studying both the explanatory and the forecasting power of the considered models we came to the conclusion that stochastic volatility models perform equally or in some cases better than GARCH models.
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
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
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
Аганин А. Д., Прикладная эконометрика 2017 Т. 48 С. 63-84
This article is dedicated to multivariate comparison of big number of GARCH, ARFIMA and HAR-RV families’ models considering their one-day ahead realized volatility, which is known to be a consistent measure of daily volatility. A total of 102 models from three families were included in comparison.Comparison was completed with the help of Model Confidence Set ...
Added: December 14, 2017
Kurbangaleev M. Z., Информационные системы и математические методы в экономике (электронный научный журнал) 2012 No. 3 P. 121-127
This paper reviews difficulties concerning a development of single-name CDS price (spread) dynamics model for the purpose of determination of margin requirements. It also discusses a possibility to construct such a model using information about respective equity prices and option implied volatilities. Finally, it presents the basic step towards the former idea demonstrating results for ...
Added: July 18, 2012
Костырка А. В., Malakhov D., Прикладная эконометрика 2021 Т. 61 С. 110-139
In this article, two popular tests for structural breaks are considered for return volatilities: the ICSS algorithm employing the AIT test, and the least-squares (LS) estimator. We show that the AIT test is sensitive to many features of the time series, and the use of asymptotic critical values is not always justified. The LS method ...
Added: April 20, 2021
Lakshina V. V., Лапшина К. А., Финансы: теория и практика 2016 Т. 20 № 5 С. 105-114
Hedging is one of the most popular strategies for market risk management. Hedging is aimed at decreasing the volatility, or variability, of portfolio returns. The portfolio usually consists of the spot assets and hedging instruments. The latter can be represented by futures, options and over-the-counter assets such as forwards and swaps. While futures’ hedging is ...
Added: October 5, 2016
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
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
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
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
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
Gafarov B., / Высшая школа экономики. Series EC "Economics". 2013. No. WP BRP 35/EC/2013.
I apply the model with unobserved components and stochastic volatility (UC-SV) to forecast the Russian consumer price index. I extend the model which was previously suggested as a model for inflation forecasting in the USA to take into account a possible difference in model parameters and seasonal factor. Comparison of the out-of-sample forecasting performance of ...
Added: October 4, 2013
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
Potanin B., Trifonov Y., Прикладная эконометрика 2021 Т. 63 С. 76-90
This study applies various modifications of the GARCH-M process to model oil prices considering both the expectations of the investors and the risk premium. Futures contracts prices and volatility are used as a proxy for investors’ expectations and risk premium correspondingly. The advantage of the proposed approach is that the risk premium is modeled without ...
Added: September 22, 2021
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
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
Safonov G., Галенович А., Федоров Ю. Н., Энергия: экономика, техника, экология 2012 № 5 С. 37-39
The article discusses the potential role of Russia in global carbon markets, prospects and opportunities for national businesses in greenhouse gas emission reduction ...
Added: July 20, 2016
Ивлиев С. В., Penikas H. I., Экономика и управление: проблемы, решения 2016 Т. 2 № 8 С. 247-252
Под эгидой Гильдии финансовых аналитиков и риск-менеджеров и Русского общества управления рисками разработан новый профессиональный стандарт «Специалист по управлению финансовыми рисками», который предназначен для оценки квалификации риск-менеджеров. В статье описываются предпосылки создания и краткое содержание стандарта с целью его популяризации. ...
Added: September 5, 2016
Pilnik N., Pospelov I. G., Radionov S., Вестник АКСОР 2017 Т. 43 № 3-4 С. 71-78
In this article we consider the issues of preparing statistical data for using in applied macroeconomic models, based on balance equalities. We propose a description of every macroeconomic agent, which consists of four balances of different kind. The described construction is filled with statistical data, which describes the condition of main sectors of Russian economy, ...
Added: November 26, 2017
Smirnov S. V., Balashova E., Posvianskaia L., Problems of Economic Transition 2010 Vol. 53 No. 3 P. 69-95
The article considers different approaches, all based on detailed statistical data, to determine which industries and commodities have high, medium, or low sensitivity to exchange rate fluctuations. The authors conclude that any exchange rate policy is an inappropriate tool to influence the structure of Russian economy. ...
Added: April 12, 2013
Chulok A., Slobodianik S., Moiseichev E. Y., Foresight 2017 Vol. 19 No. 5 P. 511-527
Purpose
This study aims to assess future prospects for Russian energy exports until 2040, as global energy markets are undergoing major changes, with possible impacts on Russia.
Design/methodology/approach
Qualitative and quantitative approaches are integrated under a proposed foresight framework. The qualitative method involves an expert survey aimed at identifying major energy trends and their influence on ...
Added: October 3, 2017
Neretina Ekaterina, Neretina E., Journal of Accounting, Finance and Economics 2013 Vol. 3 No. 1 P. 65-76
The last market crash of 2008-2009 showed that the construction sphere is one of the most fragile subject to the crisis effect. The destructive effect of this crash resulted in substantial decrease in mortgage lending, price index, capital investment, and in growth of the cost level. As the construction industry remains strategically important, the eruption ...
Added: September 5, 2013
Polishchuk L., Natkhov T., Журнал Новой экономической ассоциации 2017 № № 3(35) С. 12-32
We discuss the evolving views on institutions and development in modern political economy, and in particular the contribution to the field by D. Acemoglu and J. Robinson, explaining root causes of successes and failures in economic development. The focus of discussion is on inclusive and extractive institutional regimes — the former sustain economic growth, whereas ...
Added: October 23, 2017