Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F21%3A00549124" target="_blank" >RIV/00216208:11640/21:00549124 - isvavai.cz</a>
Alternative codes found
RIV/67985998:_____/21:00549121
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)
Original language description
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.
Czech name
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Czech description
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Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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