Název: Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)
Autoři: Pyrlik, Vladimir ; Elizarov, P. ; Leonova, A.
Typ dokumentu: Výzkumné zprávy
Rok: 2021
Jazyk: eng
Edice: CERGE-EI Working Paper Series, svazek: 713
Abstrakt: We assess the performance of selected machine learning algorithms (lasso, random forest, gradient boosting, and long short-term memory) in forecasting the daily realized volatility of returns of selected top stocks in the Russian stock market in comparison with a heterogeneous autoregressive realized volatility benchmark in 2018-2020. We seek to improve the predictive power of the models by including various economic indicators that carry information about future volatility. We find that lasso delivers a good combination of easy implementation and forecast precision. The other algorithms require fine-tuning and frequent re-training, otherwise they are likely to fail to outperform the benchmark often enough. Only the basic lagged log-RV values are significant explanatory variables in terms of the benchmark in-sample quality. Many economic indicators of mixed frequencies improve the predictive power of lasso though, including calendar and overnight effects, financial spillovers from local and global markets, and various macroeconomics indicators.
Klíčová slova: heterogeneous autoregressive model; lasso; machine learning

Instituce: Národohospodářský ústav AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: https://www.cerge-ei.cz/pdf/wp/Wp713.pdf
Původní záznam: http://hdl.handle.net/11104/0325136

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-508260


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