Applying the Multi Regime Models to the Modelling the Dynamics of Financial Time Series

Использование многорежимных моделей для моделирования динамики финансовых временных рядов

Vadim Zyamalov

Russian Economic Development, 2022, issue 5, 13-19

Abstract: Single-regime econometric models are widely used to model the dynamics of stock indices. These models are valid if the relationship between the variables under consideration remains unchanged. However, this assumption may become incorrect if they may change for any economic reason. To resolve these issues, multi-mode models allowing for explicitly taking into account these changes were introduced. This paper presents the results of modeling the impact of macroeconomic indicators on the dynamics of the RTSI index depending on the external economic situation using the price of oil as one of the main export commodities. It is shown that depending on the economic regime there is a difference in the nature of the impulse responses of the RTS index to innovation in explanatory macroeconomic indicators.

Keywords: financial indices; multi-regime models; STVECM; impulse responses (search for similar items in EconPapers)
JEL-codes: C32 C53 G12 (search for similar items in EconPapers)
Date: 2022
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