Forecasting of RTS Index Dynamics

Student: Babudzhi Nikita

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

This paper addresses the question: What are the determinants of RTS index as a benchmark for Russian stock market and what is the most appropriate time series model for forecasting its dynamics. The research examines the relationships between RTS index and its determinants and estimates a model for prediction. It is revealed that VECM yields the most accurate forecasts in stable periods, whereas the naive forecast is more appropriate in the periods of structural breaks.

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