Efficiency of financial markets during crisis periods: fractal analysis approach

Using the Hirst exponent to assess the effectiveness of financial markets. Analysis of the Russian financial market. Testing of hypotheses about the efficiency of markets calm and crisis periods. Predicting the impending crisis using the Hurst indicator.

Рубрика Экономика и экономическая теория
Вид дипломная работа
Язык английский
Дата добавления 01.09.2017
Размер файла 2,3 M

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-5.1882

Sum squared resid

1.4577

Schwarz criterion

-5.1802

Table A8

Test of ARCH-effects in the filtered series - fr(t)

Heteroskedasticity Test: ARCH

F-statistic

0.0245

Prob. F(1,3037)

0.8756

Obs*R-squared

0.0245

Prob. Chi-Square(1)

0.8756

Dependent Variable: RESID-2

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

1.00301

0.04602

21.79644

0.0000

RESID-2(-1)

-0.00284

0.01815

-0.156525

0.8756

Table A9

Correlogram of the filtered series - fr(t)

Correlogram of Squared Standardized Residuals

Lag #

AC

PAC

Q-Stat

Prob*

1

-0.0030

-0.0030

0.0245

0.8760

2

0.0060

0.0060

0.1264

0.9390

3

0.0270

0.0270

2.3988

0.4940

4

-0.0170

-0.0170

3.2680

0.5140

5

0.0010

0.0000

3.2704

0.6580

6

-0.0060

-0.0070

3.3887

0.7590

7

-0.0090

-0.0080

3.6545

0.8190

8

0.0140

0.0140

4.2396

0.8350

9

0.0000

0.0010

4.2396

0.8950

10

-0.0150

-0.0150

4.9043

0.8970

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