IDEAS home Printed from https://ideas.repec.org/a/ris/apltrx/0380.html
   My bibliography  Save this article

Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market

Author

Listed:
  • Nagapetyan, Artur

    () (Far Eastern Federal University, Vladivostok, Russian Federation)

Abstract

The approaches to modeling stocks volatility, stock indices volatility and financial portfolios volatility which differ from the existing ones by taking into account the dynamics of the Market Diversification Potential Index, are proposed. The presence of a significant effect of the Market Diversification Potential Index on the volatility of stocks, stock indices, and financial portfolios was demonstrated. A model has been developed for predicting the volatility of returns on stocks, stock indices, and financial portfolios, which takes into account the impact of the dynamics of the Market Diversification Potential Index and allows us to significantly increase the forecast qualities of existing models. The results of using a non-sampling forecasting technique for one period when working with financial assets demonstrated realized stock and stock index volatility, simulating realized volatility of random financial portfolios and modeling Markowitz effective financial portfolios.

Suggested Citation

  • Nagapetyan, Artur, 2019. "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 56, pages 45-61.
  • Handle: RePEc:ris:apltrx:0380
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    volatility clustering; realized correlation; DCC; MEWMA; MGARCH; market diversification potential index; MCS; correlation simulation; realized volatility; effective portfolio; out-of-sample forecasting.;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0380. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoly Peresetsky). General contact details of provider: http://appliedeconometrics.cemi.rssi.ru/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.