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The model of volatility of the exchange rate (RUR/USD), based on the fractal characteristics of time series

Author

Listed:
  • Putko, Boris

    (Financial University under the Government of Russian Federation)

  • Didenko, Alexander

    (Financial University under the Government of Russian Federation)

  • Dubovikov, Mikhail

    (Index-20, Russia)

Abstract

The paper develops volatility forecasting model for exchange rate RUR/USD. To forecast volatility we decompose it to components, characterizing fractal structure of financial time series. Using regression analysis we confirm quasi-cyclical time structure for one of the fractal parameter. We discuss possibilities of the method to predict volatility, including forecasting market transition to unsteady state.

Suggested Citation

  • Putko, Boris & Didenko, Alexander & Dubovikov, Mikhail, 2014. "The model of volatility of the exchange rate (RUR/USD), based on the fractal characteristics of time series," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 79-87.
    • Handle: RePEc:ris:apltrx:0250
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    References listed on IDEAS

    as
    1. Dubovikov, M.M & Starchenko, N.V & Dubovikov, M.S, 2004. "Dimension of the minimal cover and fractal analysis of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(3), pages 591-608.
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    Cited by:

    1. repec:scn:financ:y:2015:i:1:p:30-36 is not listed on IDEAS
    2. Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015. "Forecasting coherent volatility breakouts," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.

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    More about this item

    Keywords

    FX market; volatility; fractal parameters; unsteady state forecast;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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