Home  Journals  Financial Analytics: Science and Experience  16(154) - 2013 April

Forecasting of stock market of the Russian Federation by means of GARCH modeling

Available online: 27 April 2013

Subject Heading: Stock market

JEL Classification: 

In the article theoretical aspects of forecasting of profitability and volatility of share indexes by means of GARCH modeling are considered. The review of practical application of the GARCH models for share indexes of the various countries is carried out. GARCH models application for the Russian stock market is realized. On the basis of values of an index of MICEX 10 from January, 2010 till November, 2012 forecasts of its values of profitability and volatility for five days and three weeks are constructed.

Keywords: GARCH, asymmetry, information, volatility, forecasting, stock market, MICEX 10

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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