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Использование Многорежимных Моделей Для Моделирования Динамики Финансовых Временных Рядов

Author

Listed:
  • Vadim Ye. Zyamalov

    (Russian Presidential Academy of National Economy and Public Administration)

Abstract

Однорежимные эконометрические модели широко применяются в целях моделирования динамики фондовых индексов. Они справедливы при неизменности взаимосвязи между рассматриваемыми переменными, однако подобное допущение может стать неверным, если в силу каких-либо экономических причин переменные меняются. Для разрешения этих вопросов были предложены многорежимные модели, позволяющие в явном виде учитывать такие изменения. В настоящей работе представлены результаты моделирования влияния макроэкономических показателей на динамику индекса РТС в зависимости от внешнеэкономической конъюнктуры, для определения которой была выбрана цена нефти как одного из основных экспортных товаров РФ. Было показано, что в зависимости от экономического режима наблюдается различие в характере импульсных откликов индекса РТС на инновации в объясняющих макроэкономических показателях.

Suggested Citation

  • 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.
    • Handle: RePEc:gai:ruserr:r2241
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    финансовые индексы; многорежимные модели; STVECM; импульсные отклики;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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