Comparison of the Predictive Ability of Single and Multi-Regime Models of Stock Market Dynamics

Vadim Zyamalov

Finansovyj žhurnal — Financial Journal, 2017, issue 2, 64-75

Abstract: Stock indices are one of the indicators of the general state of the economy. Therefore, modelling and forecasting of stock indices are discussed heavily for several decades. In this paper, the impact of macroeconomic factors on the Russian stock indices is discussed and investigated by author. In particular, the impact of external trade characteristics and foreign stock indices is analyzed. In addition, several econometric models are compared in the article due to their predictive ability. The author also investigates a predictive ability of vector autoregression (VAR) and vector smooth transition autoregression (VSTAR) models.

Keywords: stock indices; RTSI; trade conditions; multi-regime models; predictive ability; fundamental analysis (search for similar items in EconPapers)
JEL-codes: E44 E47 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:170206:p:64-75

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