Combination of HAR-RV Model with Wavelet Transfofm for Some Russian Stocks

Student: Ukader Danila

Supervisor: Dmitry V. Levando

Faculty: International College of Economics and Finance

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

Year of Graduation: 2019

This paper analyzes the combination of a discrete wavelet transform and the HAR-RV model for measuring the volatility of a number of Russian stocks. The combination of these tools has proven to be better than the standard HAR-RV model, which may indicate the viability of this method for measuring volatility and further research.

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