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The importance of being informed: Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decadesстатья Исследовательская статья
Статья опубликована в журнале из списка RSCI Web of Science
Статья опубликована в журнале из перечня ВАКСтатья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 7 июля 2020 г.
- Авторы: FANTAZZINI D., SHANGINA T.
- Журнал: Прикладная эконометрика
- Том: 55
- Год издания: 2019
- Издательство: Российская академия народного хозяйства и государственной службы при Президенте РФ
- Местоположение издательства: Москва
- Первая страница: 5
- Последняя страница: 31
- DOI: 10.24411/1993-7601-2019-10008
- Аннотация: This paper focuses on the forecasting of market risk measures for the Russian RTS index future, and examines whether augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the estimated risk measures. We considered a time sample of daily data from 2006 till 2019, which includes several episodes of large-scale turbulence in the Russian future market. We found that the predictive power of several models did not increase if these two variables were added, but actually decreased. The worst results were obtained when these two variables were added jointly and during periods of high volatility, when parameters estimates became very unstable. Moreover, several models augmented with these variables did not reach numerical convergence. Our empirical evidence shows that, in the case of Russian future markets, TGARCH models with implied volatility and Student's t errors are better choices if robust market risk measures are of concern.
- Добавил в систему: Фантаццини Деан c.
Прикрепленные файлы
| № | Имя | Описание | Имя файла | Размер | Добавлен |
|---|---|---|---|---|---|
| 1. | Полный текст | the-importance-of-being-informed-forecasting-market-risk-me… | 1005,6 КБ | 7 февраля 2020 [Fantazzini] |