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Прогнозирование Когерентных Разрывов Волатильности // Forecasting Coherent Volatility Breakouts

Author

Listed:
  • A. Didenko S.

    (Financial university)

  • M. Dubovikov M.

    («INDEX-XX» company)

  • B. Poutko A.

    (Financial university)

  • А. Диденко С.

    (Финансовый университет)

  • М. Дубовиков М.

    (ОАО «ИНДЕКС-XX»)

  • Б. Путко А.

    (Финансовый университет)

Abstract

The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals based on long memory properties of financial time series. The approach for computing fractal dimension using sequence of the minimal covers with decreasing scale (proposed in [1]) is used to decompose volatility into two0dynamic components: specific A (t ) and structural Hµ(t ). We introduce two separate models forA (t ) and Hµ(t ), based on different principles and capable of catching long uptrends in volatility. To test statistical significanceof its abilities we introduce several estimators of conditional and unconditional probabilities of reversals in observed and predicted dynamic components of volatility. Our results could be used for forecasting points of market transition to an unstable state. Разработана методика долгосрочного (до нескольких месяцев) прогнозирования разворотной динамики волатильности с использованием свойств длинной памяти финансовых временных рядов. Предложенный в [1] алгоритм вычисления фрактальной размерности через покрытие предфракталами используется для декомпозиции волатильности на удельную0A (t) и структурную Hµ(t). Предложены модели динамических компонентволатильности, способные предсказывать длинные восходящие в ней тренды. Для проверки статистическойзначимости прогнозов введены функции оценки условных и безусловных вероятностей для наблюдаемых и прогнозируемых компонент. Наши результаты могут быть использованы для предсказания точек перехода рынка в нестабильное состояние.

Suggested Citation

  • A. Didenko S. & M. Dubovikov M. & B. Poutko A. & А. Диденко С. & М. Дубовиков М. & Б. Путко А., 2015. "Прогнозирование Когерентных Разрывов Волатильности // Forecasting Coherent Volatility Breakouts," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, issue 1, pages 30-36.
    • Handle: RePEc:scn:financ:y:2015:i:1:p:30-36
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    References listed on IDEAS

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    2. Dubovikov, M.M & Starchenko, N.V & Dubovikov, M.S, 2004. "Dimension of the minimal cover and fractal analysis of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(3), pages 591-608.
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