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Applying the Multi Regime Models to the Modelling the Dynamics of Financial Time Series
[Использование Многорежимных Моделей Для Моделирования Динамики Финансовых Временных Рядов]

Author

Listed:
  • Vadim Ye. Zyamalov

    (Russian Presidential Academy of National Economy and Public Administration)

Abstract

Single-regime econometric models are widely used to model the dynamics of stock indices. These models are valid if the relationship between the variables under consideration remains unchanged. However, this assumption may become incorrect if they may change for any economic reason. To resolve these issues, multi-mode models allowing for explicitly taking into account these changes were introduced. This paper presents the results of modeling the impact of macroeconomic indicators on the dynamics of the RTSI index depending on the external economic situation using the price of oil as one of the main export commodities. It is shown that depending on the economic regime there is a difference in the nature of the impulse responses of the RTS index to innovation in explanatory macroeconomic indicators.

Suggested Citation

  • Vadim Ye. Zyamalov, 2022. "Applying the Multi Regime Models to the Modelling the Dynamics of Financial Time Series [Использование Многорежимных Моделей Для Моделирования Динамики Финансовых Временных Рядов]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 5, pages 13-19, May.
    • Handle: RePEc:gai:recdev:r2241
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    financial indices; multi-regime models; STVECM; impulse responses;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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