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The importance of being informed: Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades

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  • Автор: Dean Fantazzini

  • Жанр: Математика

О книге

This paper focuses on the forecasting of market risk measures for the Russian RTS index future, and examines whether augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the estimated risk measures. We considered a time sample of daily data from 2006 till 2019, which includes several episodes of large-scale turbulence in the Russian future market. We found that the predictive power of several models did not increase if these two variables were added, but actually decreased.