Market analysis and assess regulation policies. Pre-crisis and post-crisis windows definition. Forecast comparison for standalone models. Rolling regression with dynamic forecast for models. Realized Volatility, Bipower Variation. Combination of models.
Аннотация к работе
Contents 1. Introduction 2. Literature review 3. Data 3.1 Data description 3.2 Pre-crisis and post-crisis windows definition 3.2.1 Samples statistics 3.2.2 Data clearing 4. Methodology 4.1 Volatility estimators 4.1.1 Realized Volatility 4.1.2 Bipower Variation and Jumps 4.1.3 Realized Range 4.2 Models for volatility forecasting 4.2.1 GARCH models 4.2.2 HAR-RV model 4.2.3 HAR-RR model 4.2.4 HAR-RV-J model 4.2.5 HAR-RV-CJ model 4.2.6 Pull of models 4.3 Forecast comparison 4.3.1 Standard approach 4.3.2 Model Confidence Set 4.4 Value at Risk estimation 5. Results 5.1 Statistics on volatility estimators 5.1.1 Realized Volatility, Bipower Variation and Jumps 5.1.2 Realized Range, Returns 5.2 Regression estimations 5.2.1 GARCH model 5.2.2 HAR-RV models 5.2.3 HAR-RR models 5.2.4 HAR-RV-J models 5.2.5 HAR-RV-CJ models 5.3 Forecast results of standalone models 5.3.1 HAR-RV models 5.3.2 HAR-RR models 5.3.3 HAR-RV-J models 5.3.4 HAR-RV-CJ models 5.3.5 Forecast comparison for standalone models 5.3.6 Rolling regression with dynamic forecast for models 5.4 Combination of models 5.5 Value-at-Risk modelling 6. Conclusion 7. References 8. Appendix Figure 1. Daily (1 minute) Realized Volatility time series Figure 2. MICEX Index (Closing price) time series Figure 3. Trading Volume of MICEX Index (Daily) Figure 4. RVI (Russian volatility index) Figure 5. Realized Volatility and Realized Range daily estimators (1-minute frequency) during period from 01/01/2014 till 01/01/2015 Table 1. Data summary Table 2. GARCH (1, 1) model coefficients Table 3. HAR-RV model coefficients for 1, 5, 10, 15 minute frequency Table 4. HAR-RV (sq. roots) model coefficients for 1, 5, 10, 15 minute frequency Table 5. HAR-RV-J (logarithms) model coefficients for 1, 5, 10, 15 minute frequency Table 12. HAR-RV-CJ (logarithms) model coefficients for 1, 5, 10, 15 minute frequency Table 15.