The Detection of Structural Changes in the Volatility of Share Prices of Several Companies on Example of Oil and Gas Industry in the Russian Federation

Student: Markina Anastasiia

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2016

This work explores the problem of detection structural changes in the data by the example of the stock returns of some companies in Russian oil and gas industry (PJSC "Gazprom", OJSC "NK" Rosneft "," Bashneft 'ANK). A new, universal method for the detection of jumps was proposed in this work which is based on the GARCH (1,1) model through the maximization of the likelihood function, which as an additional parameter estimated time jump that separates the model into two parts. The method shows its effectiveness in the generated data and in the real data. The empirical analysis was carried out between September 2007 and March 2016 (finam.ru site database). Founded jumps correspond to the economic developments in Russia that took place in the period under review, such that the financial crisis of 2007-2009 and currency crisis that began in 2014. Also, it is given a detailed explanation for each significant jump in the work.

Full text (added May 11, 2016)

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