The Stock market modeling in QUMMIR. Performed by Kaminova Sofia The Institute of Economic Forecasting ©Institute of Economic Forecasting Russian Academy.

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Presentation transcript:

The Stock market modeling in QUMMIR. Performed by Kaminova Sofia The Institute of Economic Forecasting ©Institute of Economic Forecasting Russian Academy of Sciences

Initial Public Offerings

SECTORAL SEGMENTATION BY CAPITALIZATION Total capitalization $ billion

Retail trade turnover, income of population RTS index The output of Mining and quarrying, Manufacturing, Electricity, gas and water supply Oil and natural gas prices, volumes of export of oil and gas CELL CHART OF STOCK MARKET Population expenses of the Internet, cellular communication payments Price index of electricity S&P index, FRS rate Direct foreign investments Corporate credits Investments in fixed capital GDP Oil & Gas Consumer & Retail Metals & Mining Industrial Telecoms Electric Utilities Financials The output of Mining and quarrying, Manufacturing Total assets of banking system Electricity, gas and water supply External factors

Exogenous variables Oil price (brent) Natural gas price Export of oil Export of gas Price index of electricity FRS rate S&P index

r credjurT_del = rtsi, invVCT, passiv_kb_del[1], r invdiroblres = rtsi, sezinvdiroblres, invVT/invVT[1], fdVT/fdVT[1], credjurT_del – increase of corporate credits invdiroblres - direct foreign investment rtsi – RTS index fdVT – GDP in constant prices invVT - fixed capital stock in constant prices invVCT – fixed capital stock in current prices passiv_kb_del - increase of banking system liabilities sezinvdiroblres – seasonality of direct foreign investment

credjurT SEE = RSQ = RHO = 0.02 Obser = 20 from SEE+1 = RBSQ = DW = 1.95 DoFree = 16 to MAPE = invdiroblres SEE = RSQ = RHO = Obser = 13 from SEE+1 = RBSQ = DW = 2.00 DoFree = 8 to MAPE = 45.09

FORECAST

Thank you