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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 on theme: "The Stock market modeling in QUMMIR. Performed by Kaminova Sofia The Institute of Economic Forecasting ©Institute of Economic Forecasting Russian Academy."— Presentation transcript:

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

2 www.macroforecast.ru Initial Public Offerings

3 SECTORAL SEGMENTATION BY CAPITALIZATION Total capitalization $1274.5 billion

4 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

5 Exogenous variables 20082009201020112012 Oil price (brent)119.5124.8129.9132.5135.2 Natural gas price371.1388.8387.1404.1408.1 Export of oil64.264.865.365.565.3 Export of gas50.252.554.756.859.7 Price index of electricity24.0627.2830.3033.3135.03 FRS rate2.052.282.703.414.02 S&P index1314.71325.513881471.31611.3

6 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

7 credjurT SEE = 71.00 RSQ = 0.9021 RHO = 0.02 Obser = 20 from 2003.100 SEE+1 = 71.00 RBSQ = 0.8837 DW = 1.95 DoFree = 16 to 2007.400 MAPE = 22.25 invdiroblres SEE = 2869.05 RSQ = 0.6306 RHO = -0.00 Obser = 13 from 2005.100 SEE+1 = 2868.78 RBSQ = 0.4459 DW = 2.00 DoFree = 8 to 2008.100 MAPE = 45.09

8 FORECAST

9 Thank you

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