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

  • Borusyak, K.

    (Financial University and New Economic School, Moscow, Russia)

Registered author(s):

    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.

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    File URL: http://www.econorus.org/repec/journl/2011-11-85-105r.pdf
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    Article provided by New Economic Association in its journal Journal of the New Economic Association.

    Volume (Year): (2011)
    Issue (Month): 11 ()
    Pages: 85-105

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    Handle: RePEc:nea:journl:y:2011:i:11:p:85-105
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