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Modeling Price Volatility of Ordinary Shares of Oil and Petroleum Industry, Taking into Account Possible Structural Changes

Student: Viktoria Silvestrova

Supervisor: Nikolay Pilnik

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2019

Volatility is one of the key risk assessment tools, as it is known, ignoring moments of structural changes can lead to distorted estimates and forecasts. In the course of the study, moments of structural changes were found for a series of returns of ordinary shares of oil and gas companies and estimates of volatility were found. The results of the assessment showed that during the crisis, the standard GARCH (1.1) model shows significantly lower volatility estimates than the model that takes into account structural changes, which leads to an incorrect assessment of the level of risk at intervals with the highest volatility values ​​of the ordinary shares.

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