Template-Type: ReDIF-Article 1.0
Author-Name: Vadim Ye. Zyamalov
Author-Email: zyamalov@ranepa.ru
Author-Workplace-Name: Russian Presidential Academy of National Economy and Public Administration, Moscow 119571, Russia
Title: Comparison of the Predictive Ability of Single and Multi-Regime Models of Stock Market Dynamics
Abstract: Stock indices are one of the indicators of the general state of the economy. Therefore, modelling and forecasting of stock indices are discussed heavily for several decades. In this paper, the impact of macroeconomic factors on the Russian stock indices is discussed and investigated by author. In particular, the impact of external trade characteristics and foreign stock indices is analyzed. In addition, several econometric models are compared in the article due to their predictive ability. The author also investigates a predictive ability of vector autoregression (VAR) and vector smooth transition autoregression (VSTAR) models.
Classification-JEL: E44, E47
Keywords: stock indices, RTSI, trade conditions, multi-regime models, predictive ability, fundamental analysis
Journal: Finansovyj žhurnal — Financial Journal
Pages: 64-75
Issue: 2
Year: 2017
Month: April
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2017/2/statii_2/fm_2017_2_06.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:170206:p:64-75