Forecast comparison of volatility models on Russian stock market

Artem Aganin ()
Additional contact information
Artem Aganin: National Research University Higher School of Economics, Moscow, Russian Federation

Applied Econometrics, 2017, vol. 48, 63-84

Abstract: 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 test using 3 different loss functions on 10 Russian stock assets, including eight stock assets and two stock market indices. Received results strongly suggest HAR-RV superior performance to other two families of volatility models on Russian stock market and confirm local findings of previous studies

Keywords: GARCH; realized volatility; HAR-RV; MCS (search for similar items in EconPapers)
JEL-codes: C52 C53 C58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2017_48_063-084.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0331

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().