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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:
Buchko A., Peresetsky A., HSE Economic Journal 2025 Vol. 29 No. 3 P. 383–406
In recent years cryptocurrencies have gained popularity: institutional and retail investors as well as different trading companies started positively looking at crypto assets. As a result, the convergence level between cryptocurrencies and the traditional markets has changed a lot. Stocks deserve close attention because they are a key asset for many investors. This article explores ...
Added: September 17, 2026
Soldatova A., Банковские услуги 2025 № 5 С. 41–44
This article covers the results of a roundtable discussion at the Higher School of Economics (HSE) on the Russian bond market. Key issues and trends in the bond market over the past year were discussed, including macroeconomic risks and new threats to private investors related to the increasing frequency of coupon defaults by issuers. The ...
Added: September 3, 2026
Ионцев М. А., Инновации и инвестиции 2025 № 7 С. 43–46
The article examines the volatility of the BTC digital currency against the background of volatility indicators of traditional securities. A comparative analysis was conducted, which revealed that the level of price instability of BTC is generally comparable to the volatility of a number of stocks and other financial instruments. Particular attention is paid to factors ...
Added: November 10, 2025
Soldatova A., Финансы, деньги, инвестиции (Россия) 2025 № 2 С. 27–36
The article is devoted to the study of the features and advantages of investing in an Islamic index. The principles of Islamic finance, the distinctive features of Islamic indices and the methods of their calculation are considered. An analysis of the industry structure of the global Islamic index was conducted. The stages of forming an ...
Added: July 8, 2025
Pshichenko D., Znanstvena misel 2024 No. 96 P. 38–42
The article analyzes the application of artificial intelligence (AI) models for forecasting market volatility (MV). Examples of algorithms such as recurrent neural networks (RNN), long short-term memory (LSTM) networks, and regression methods are studied, demonstrating their effectiveness in processing time series and identifying complex data patterns. The importance of integrating machine learning (ML), as a ...
Added: March 10, 2025
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
Sviyazov V., Экономический журнал Высшей школы экономики 2023 Т. 27 № 3 С. 412–434
The problem of volatility forecasting with and without consideration of weekly seasonality effect (the weekend effect) is examined in this research. The question of the seasonality existence is understood in the following sense: do models, which incorporate seasonality, feature better forecasts? The fuzzy GARCH model, which accounts for a weekly seasonality effect is presented in ...
Added: October 28, 2023
D. A. Borzykh, A. A. Yazykov, Mathematical Models and Computer Simulations 2023 Vol. 15 No. 4 P. 654–659
Two methods of structural break detection in a piecewise generalized model of autoregressive
conditional heteroscedasticity are considered. The first method is based on Kolmogorov–
Smirnov statistics and is called the KS method. The second one is based on the cumulative sums and
is called the KL method. In this paper, the KS and KL methods are compared under ...
Added: October 15, 2023
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 ...
Added: September 22, 2021
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
Teplova T., Tomtosov A., Quarterly Review of Economics and Finance 2021 No. 80 P. 210–223
Factor momentum and high volume separately work well in developed markets, but they have shown poor results in extremely volatile and illiquid emerging markets. Guided by the characteristics of illiquid markets, we combined momentum and high volume into a composite factor by a unique technique. The stability of momentum winners was improved by an increase ...
Added: February 11, 2021
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
of research and development (R&D) expenditures of large and mature companies. The research
methodology is based on real options approach. We model companies’ R&D expenditures
as payments for the real option, which is the right of a company to invest ...
Added: November 25, 2020
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 ...
Added: September 28, 2020
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 di erent nationalities, the research analyses
the multicultural e ects 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 di erent
nationalities perceive hotel attributes di erently using two hotels located in Saint Petersburg as
a case study. To that end, ...
Added: September 9, 2020
Borzykh D., Yazykov A., Вестник Санкт-Петербургского университета. Серия 10. Прикладная математика. Информатика. Процессы управления 2020 Т. 16 № 1 С. 19–30
There are three well-known CUSUM-methods of structural breaks detection for standard
GARCH-models in the literature: (Inclґan, Tiao, 1994), (Kokoszka, Leipus, 1999) and (Lee,
Tokutsu, Maekawa, 2004). Despite the fact that these algorithms were initially developed
for standard GARCH-models, there are theoretical arguments that CUSUM-methods can
be applied to EGARCH-models. What is more, one can find empirical research which uses
these ...
Added: April 15, 2020
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
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 ...
Added: January 22, 2019
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
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 ...
Added: December 20, 2018
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
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
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