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Forecast comparison of volatility models on Russian stock market

Author

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  • Aganin, Artem

    () (National Research University Higher School of Economics, Moscow, Russian Federation)

Abstract

This article is dedicated to multivariate comparison of big number of GARCH, ARFIMA and HAR-RV families’ models considering their one-day ahead realized volatility, which is known to be a consistent measure of daily volatility. A total of 102 models from three families were included in comparison. Comparison was completed with the help of Model Confidence Set test using 3 different loss functions on 10 Russian stock assets, including eight stock assets and two stock market indices. Received results strongly suggest HAR-RV superior performance to other two families of volatility models on Russian stock market and confirm local findings of previous studies

Suggested Citation

  • Aganin, Artem, 2017. "Forecast comparison of volatility models on Russian stock market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 48, pages 63-84.
  • Handle: RePEc:ris:apltrx:0331
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    GARCH; realized volatility; HAR-RV; MCS;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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