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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