Основной контент книги The importance of being informed: Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades
Text PDF

Volume 27 pages

2019 year

12+

The importance of being informed: Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades

Not for sale

About the book

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.

Other versions

1 book from $10.63
Log in, to rate the book and leave a review
Book «The importance of being informed: Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades» — download in pdf or read online. Leave comments and reviews, vote for your favorites.
Age restriction:
12+
Release date on Litres:
12 November 2019
Writing date:
2019
Volume:
27 p.
Total size:
939 КБ
Total number of pages:
27
Copyright holder:
Синергия
Download format:
Text, audio format available
Average rating 4,7 based on 320 ratings
Audio
Average rating 4,2 based on 745 ratings
Text, audio format available
Average rating 4,8 based on 19 ratings
Text, audio format available
Average rating 4,8 based on 106 ratings
Text
Average rating 4,9 based on 35 ratings
Audio
Average rating 4,4 based on 7 ratings
Text, audio format available
Average rating 4,7 based on 817 ratings