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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Artem Ahanin
GARCH and HARG Models for the Realized Volatility Forecast for the Russian Stock Market
Applied Economics
(Master’s programme)
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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