Forecasting Realised Volatility of MICEX index
Dissertation code for MSc in Financial Economics in City University London
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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 (2026). Forecasting Realised Volatility of MICEX index (https://se.mathworks.com/matlabcentral/fileexchange/48436-forecasting-realised-volatility-of-micex-index), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (10.6 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
