Financial Assets Volatility Factors

Student: Artemova Irina

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

The aim of this research is the identification of the factors affecting the Russian and foreign securities market volatility and identification of a difference of the market sensitivity to these factors. The following tasks are expected to be performed In this study: to consider the concept of securities volatility and methods of its measurement; to consider the volatility indices of VIX, RTSVX and VDAX, to consider the known factors of securities volatility and models describing volatility; to simulate the volatility of the Russian and foreign securities markets from the identified factors, to give an interpretation of the results. The result of the econometric study is to identify a list of volatility factors for the markets of Russia, the United States and Germany, which will undoubtedly help numerous researchers and participants of the securities market in transactions on the stock market. Keywords: volatility, volatility factors, securities market, stock market, volatility modeling.

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