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Application of Fuzzy Asymmetric GARCH-Models to Forecasting of Volatility of Russian Stock Market
P. 286-294.
Lepskiy A., Suevalov A.
This paper presents the results of volatility forecasting for indices of the Russian stock market using existing and developed by the authors fuzzy asymmetric GARCH-models. These models consider various switching functions which are taking into account the positive and negative shocks and are built using the tools of fuzzy numbers. Furthermore, in some models there are used switching functions that consider expert macroeconomic information. It was shown that fuzzy asymmetric GARCH-models provide a more accurate prediction of volatility than similar crisp models.
Publication based on the results of:
Puzzling Premiums on FX Markets: Carry Trade, Momentum, and Value Alone and Strategy Diversification
Mikova E., Teplova T., Munir Q., Emerging Markets Finance and Trade 2020 Vol. 56 No. 1 P. 126-148
We construct and compare the results of individual investment strategies: take into account trade, dynamics and costs, and assess the benefits of policy diversification. Our analysis is based on a set of 10 major currencies and an extended sample of 16 additional emerging market currencies. We implement foreign exchange strategies in FX markets against the ruble instead of the US dollar, as ...
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Umar Z., Gubareva M., Teplova T., Resources Policy 2021 No. 73 P. 1-11
We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic ...
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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
Asaturov K. G., Teplova T., Сухорукова К.А., Управление финансовыми рисками 2012 № 3(31) С. 190-198
Статья посвящена анализу взаимосвязей фондовых рынков различных стран (регионов). Авторы уделяют особое внимание эффекту перетекания волатильности (volatility spillover) с одних рынков на другие и тестируют гипотезу о наличии этого эффекта на крупнейших финансовых региональных рынках. Предлагаемая методика тестируется на рынке США как предполагаемом эпицентре волатильности для региональных рынков, а затем реализуется для проверки ряда гипотез ...
Added: November 21, 2012
Juan Carlos M., Maria Victòria S. R., Rudchenko V., Fuzzy Economic Review 2018 No. 23 P. 63-85
Guest’s satisfaction in the hotel industry cannot be easily measured because these constructs depend on multiple intangible attributes that can be evaluated very differently by distinct market segments. In this paper, the satisfaction experienced by different market segments based on age and gender is evaluated by the use of a hybrid method built from the ...
Added: January 15, 2019
Cherkasova V. A., Управление финансовыми рисками 2014 № 3 С. 224-239
In this paper the factors that significantly affect cost of equity are determined and their impact on the average profitability of companies is evaluated through regression analysis. The factors are tested on developing capital markets of BRICS countries. ...
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Juan Carlos M., Maria Victòria S. R., Rudchenko V., Administrative Sciences 2020 Vol. 10 No. 3 P. 1-24
Although hotels usually have clients from dierent nationalities, the research analyses
the multicultural eects on hotel customers’ satisfaction is still scant. This paper aims to contribute
to the realm of hotel management by providing interesting managerial insights into how dierent
nationalities perceive hotel attributes dierently using two hotels located in Saint Petersburg as
a case study. To that end, ...
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Avdoshin S. M., Lifshits A. A., Качество. Инновации. Образование 2015 № 4 С. 42-50
The companies that are IT-industry leaders perform from several tens to several hundreds of projects simultaneously. The main problem is to decide whether the project is acceptable to the current strategic goals and resource limits of a company or not. This leads firms to an issue of a project portfolio formation; therefore, the challenge is ...
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Arbatli C. E., Eurasian Economic Review 2015 P. 1-22
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Avdoshin S. M., Lifshits A. A., Бизнес-информатика 2014 № 1(27) С. 14-22
The companies that are IT-industry leaders perform from several tens to several hundreds of projects simultaneously. The main problem is to decide whether the project is acceptable to the current strategic goals and resource limits of a company or not. This leads firms to an issue of a project portfolio formation; therefore, the challenge is ...
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Vukovic N., Pobedinsky V., Mityagin S. et al., Sustainability 2019 Vol. 11 No. 17 P. 4629-4629
This article aims to assess and forecast the dynamics of a regional green economy. The research relevance is determined by the need to develop theoretical and methodological basis of the green economy for the transition period and to identify criteria basis for assessing the state and regional level of it. The authors applied the modern ...
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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 ...
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Bogdanova T., Биджоян Д. С., Neklyudov D., Научно-технические ведомости Санкт-Петербургского государственного политехнического университета. Экономические науки 2018 Т. 11 № 4 С. 70-84
The approach proposed to classify commercial banks into banks that have a high probability of revoking a license and reliable banks, as well as an information and logical model for identifying a group of banks (or one bank) among reliable banks that are attractive for investment. The probability of license revocation was assessed using a ...
Added: June 25, 2018
Konstantin Y. Degtiarev, Borisov M., International Journal of the Analytic Hierarchy Process 2018 Vol. 10 No. 3 P. 447-468
The Analytic Hierarchy Process (AHP) is aimed at enabling decision-makers to prioritize alternatives. However, when expert expresses judgments using natural language statements (e.g. words or phrases), they can be interpreted not precisely due to inherent vagueness of the language constructs. Fuzzy Analytic Hierarchy Process (FAHP) can be viewed in the context of the classical AHP ...
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Asaturov K. G., Teplova T., Управление финансовыми рисками 2012 № 4(32) С. 254-266
интеграционные процессы на финансовых рынках, эффект перетекания волатильности, динамическая корреляция рядов доходности ...
Added: November 21, 2012
Sviyazov V., Экономический журнал Высшей школы экономики 2023 Т. 27 № 3 С. 412-434
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Sviyazov V., Control Sciences 2022 No. 6 P. 21-28
Volatility modeling and forecasting is a topical problem both in scientific circles and in the practice. This paper develops an approach combining the GARCH model and fuzzy logic. The Takagi–Sugeno fuzzy inference scheme is adopted to fuzzify an original autoregression model (the conditional heteroskedasticity model). As a result, several different local GARCH models can be ...
Added: December 6, 2023
Alexey A. Lifshits, Avdoshin S. M., , in : Emerging Trends in Information Systems: Recent Innovations, Result and Experiences. : Netherlands : Springer, 2016. Ch. 6. P. 65-77.
The companies that are IT-industry leaders perform from several tens to several hundreds of projects simultaneously. The main problem is to decide whether the project is acceptable to the current strategic goals and resource limits of a company or not. This leads firms to an issue of a project portfolio selection; therefore, the challenge is ...
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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
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
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Added: March 28, 2019
Eliseev A., Silaev A. M., В кн. : Системное моделирование социально-экономических процессов: труды 40-ой Юбилейной международной научной школы-семинара имени академика С.С. Шаталина. : Воронеж : Истоки, 2017. С. 432-435.
The parameters of GARCH, EGARCH and GJR-GARCH econometric models were estimated using Dow Jones daily returns. According to the results, asymmetric models with non-Gaussian standardized innovations proved to be the best. For these models, the returns’ conditional variance forecast was made, as well as so called “News Impact Curve”, which shows the effect of previous ...
Added: October 31, 2018
Bukhvalov A., Lukianova A., Nikulin E. et al., Russian Management Journal 2018 No. 16(3) P. 393-406
The objective of this paper is to develop the model that can be used to explain the amount
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methodology is based on real options approach. We model companies’ R&D expenditures
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Added: November 25, 2020
Lis A. I., Экономический журнал Высшей школы экономики 2015 Т. 19 № 2 С. 290-303
There is no accurate answer for the question, which method of modeling of uncertainty is preferable: random or fuzzy. Today both of these approaches are highly popular. Fuzzy and probabilistic approaches are commonly used for modeling of uncertainty. Fuzzy numbers can be used for modeling vagueness of parameters, such as risk-free rate or volatility in ...
Added: April 19, 2016