Forecasting Realised Volatility of MICEX index

Dissertation code for MSc in Financial Economics in City University London
Updated 12 Nov 2014

View License

Dissertation can be found by the following link
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 (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2014a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Find more on Financial Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes