Volatility Clustering

Student: Titov Vadim

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 8

Year of Graduation: 2017

In this diploma paper Volatility Clustering fenomena is studied from both economic and econometric perspectives. I review existing explanations for its presence on financial markets and then suggest a new one which is optimal portfolio execution strategies. I show that my idea is sensible by simulating artificial market. In econometrics section I compare existing econometric models for volatility such as GARCH and HAR-RV for 37 Russian stocks of different liquidity and find that HAR-RV fails to always outperform GARCH according to Diebold-Mariano tests though it almost always has lower mean errors.

Full text (added June 16, 2017)

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