Forecasting Realised Volatility of MICEX index

Version 1.0.0.0 (10.6 KB) by Alexandr Cecetov
Dissertation code for MSc in Financial Economics in City University London
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Updated 12 Nov 2014

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Dissertation can be found by the following link http://papers.ssrn.com/abstract=2521545.
Programme calculates realised volatility and applies HAR specification to produce one day ahead volatility forecast.
Special thanks to Dr. Alev Atak, Dr. Fulvio Corsi, Oleg Komarov.

Cite As

Alexandr Cecetov (2024). Forecasting Realised Volatility of MICEX index (https://www.mathworks.com/matlabcentral/fileexchange/48436-forecasting-realised-volatility-of-micex-index), MATLAB Central File Exchange. Retrieved .

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Created with R2014a
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Version Published Release Notes
1.0.0.0