The assessment of the political and economic event influence on Moscow interbank currency exchange (MICEX) index with the GARCH-model use
Автор: Zinenko A.V.
Журнал: Вестник Красноярского государственного аграрного университета @vestnik-kgau
Рубрика: Экономика
Статья в выпуске: 6, 2014 года.
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The analysis of the Russian MICEX index dynamics since 2005 to 2012 is conducted in the article. The model of the generalized autoregressive conditional heteroscedasticity is chosen as the analysis instrument. In addition to the quantitative analysis the basic political and economic events and their relation to the volatility fluctuations are considered.
Volatility, stock indexes, garch- модель, events, garch-model
Короткий адрес: https://sciup.org/14083787
IDR: 14083787
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