Comparative Analysis of Volatility Models for GARCH and HAR-RV Groups Using the Example of Russian ETFs

Student: Andrianova Anna

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2021

The modern financial market strives to expand the list of functional and investor-friendly instruments. One of the relatively new instruments for the Russian market is portfolio investment or the ETF market. A feature of this investment method is the ability to invest money in a share of a diversified portfolio that ordinary investors can afford, which makes it possible to increase the return on investment while reducing risks. Since ETF is a new tool that is only gaining its popularity in the domestic market, therefore, identifying the patterns of dynamics of profitability and volatility is a priority in portfolio investment research. The most famous models that allow assessing the dynamics of volatility are GARCH and HAR-RV models, each of which has its own characteristics and features, therefore, the choice of the optimal model for analysis and forecasting influences further decisions.

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