Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management

K. Borusyak
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K. Borusyak: Financial University and New Economic School, Moscow, Russia

Journal of the New Economic Association, 2011, issue 11, 85-105

Abstract: This paper studies the dynamics of the Russian stock market in 2000–2007 from the stochastic and chaotic viewpoints. Estimation of Lyapunov exponents for a number of Russian stock prices and indices suggests the absense of low-dimensional chaos. A more precise description of the market dynamics is offered by the stochastic approach, within which the best model was found to be GARCH(1,1) ~ t . Christoffersen and Berkowitz tests show that this model is better at estimating value-at-risk of trading positions than a benchmark model with independent Gaussian returns, and that systematic errors in risk assessment are quite small.

Keywords: chaos; GARCH; nonlinear dynamics; Russia; value at risk (search for similar items in EconPapers)
JEL-codes: C22 G32 (search for similar items in EconPapers)
Date: 2011
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