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

被引：0

作者：

Borusyak, K. ^{[1
,2
]}

机构：

[1] Financial Univ, Moscow, Russia

[2] New Econ Sch, Moscow, Russia

来源：

ZHURNAL NOVAYA EKONOMICHESKAYA ASSOTSIATSIYA-JOURNAL OF THE NEW ECONOMIC ASSOCIATION | 2011年 / 11期

关键词：

chaos; GARCH; nonlinear dynamics; Russia; value at risk;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 (1,1) GARCHt.. 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.

引用

页码：85 / 105

页数：21

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