GARCH and HARG Models for the Realized Volatility Forecast for the Russian Stock Market

Student: Ahanin Artem

Educational Programme: Applied Economics (Master)

Year of Graduation: 2016

In this work a huge set of models is discussed and they are compared by their forecast performance . Besides coomonly used GARCH models HAR-RV and HARG models are taken into cosideration. Comparison of their performance based on one-step ahead forecasts and usage of MCS test show, that all models are equally performing, though HAR-RV models have the highest ranking.

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