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Finance and Credit

28(556) - 2013 July

Analysis of movement to information efficiency of stock market of Russia on basis of GARCH modeling and Kalman's filter

Vol. 19, Iss. 28, JULY 2013

Available online: 29 July 2013

Subject Heading: Securities market

JEL Classification:

Fedorov E.A. Doctor of Economics, Associate Professor, the Department of Financial Management, the Financial University under the Government of the Russian Federation
ecolena@mail.ru

Lukasiewicz I.Ya. Doctor of Economics, Professor of chair of financial management, Financial University under the Government of the Russian Federation
Lukas@vzfei.ru

Merkulov O.M. software engineer, RAM Engineering Russia, Ltd
merkulova_olga@list.ru

In the article information efficiency in stock market of Russia is considered. The GARCH-M (1, 1) method with Kalman' filter allowed to define tendency to information efficiency of securities market of the Russian Federation with higher precision was used. As a result of research it was revealed that this market is undeveloped and doesn't move towards information efficiency.

Keywords: information efficiency, stock market, GARCH modeling, Kalman's filter

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

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