Finance and Credit

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Finance and Credit

13(493) - 2012 April

Forecast of a crisis state in stock market of the Russian Federation using Markov's model

Vol. 18, Iss. 13, APRIL 2012

Available online: 27 March 2012

Subject Heading: Stock market

JEL Classification:

Fedorova E.A. PhD in Economics, associate professor of department «Financial management», All Russian Correspondence Financial and Economic Institute
ecolena@mail.ru

Lytkina O.A. Leading specialist of department “Operation of information systems”, JSC "The State Insurance Company "Yugoria"
oleziki@mail.ru

The method of forecasting of crises in the stock market is offered in the article. Dependence between an index of RTS and credit derivative by means of the regime-switching GARCH model (Markov's model) is investigated. The periods of change of the model from stable state of the economy in a crisis state for the last 7 years are revealed.

Keywords: credit default swap, stock market, index RTS, Markov switching model, GARCH-model, crisis

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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