Modeling the Volatility of Financial Instruments Taking into Account Structural Changes

Student: Dolmatov Timur

Supervisor: Kirill K. Furmanov

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2021

- In our work, at the first step, we made an assessment of the income of Russian oil companies. At this stage, we used the usual GARCH model (generalized autoregressive conditional heteroscedastic model). - At the second stage, we were looking for structural changes. For this we used the Nyblom method. - At third stage, the T-GARCH model (threshold GARCH model) and the GJR-GARCH model (Glosten-Jagannathan-Rankle GARCH model) were used to model the forecast. After the analysis, we concluded that models that take into account structural breaks show higher scores than the usual GARCH model.

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