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

Author

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  • Vadim Ye. Zyamalov

    (Russian Presidential Academy of National Economy and Public Administration, Moscow 119571, Russia)

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.

Suggested Citation

  • Vadim Ye. Zyamalov, 2017. "Comparison of the Predictive Ability of Single and Multi-Regime Models of Stock Market Dynamics," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 64-75, April.
    • Handle: RePEc:fru:finjrn:170206:p:64-75
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    Cited by:

    1. Vadim Ye. Zyamalov, 2022. "Applying the Multi Regime Models to the Modelling the Dynamics of Financial Time Series [Использование Многорежимных Моделей Для Моделирования Динамики Финансовых Временных Рядов]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 5, pages 13-19, May.
    2. Vadim Ye. Zyamalov, 2022. "Использование Многорежимных Моделей Для Моделирования Динамики Финансовых Временных Рядов," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 5, pages 13-19, May.

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    More about this item

    Keywords

    stock indices; RTSI; trade conditions; multi-regime models; predictive ability; fundamental analysis;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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