V. Gavrilov

graduate student of the Economics faculty of the M.V. Lomonosov Moscow State University

M.A. Ivanov

graduate student of the Economics faculty of the M.V. Lomonosov Moscow State University

O.A. Klachkova

Cand. Sci. (Econ.), associate professor at the Department of mathematical methods of analysis of economics of the Economics faculty of the M.V. Lomonosov Moscow State University

V.Yu. Korolev

Dr. Sci. (Phys.-Math.), professor, Head of the Statistics Department of the faculty of computational mathematics and cybernetics of the M.V. Lomonosov Moscow State University

Ya.A. Roshchina

Cand. Sci. (Econ.), associate professor at the Department of mathematical methods of analysis of economics of the Economics faculty of the M.V. Lomonosov Moscow State University

IMPACT OF NEWS FLOWS ON COMPONENTS OF RUSSIAN STOCK MARKET VOLATILITY

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 Abstract

The paper simulates the volatility of securities returns on the Russian stock market depending on thematic news flows, entering the market, applying conditional autoregressive heteroscedasticity models. To take into account the news background, the model includes a numerical indicator, characterizing the number of news on each of the key topics as an independent regressor. The selection of topics and the construction of such an indicator are carried out by natural language processing methods. To assess the impact of the news background not on the volatility of returns as a whole, but on its components, the standard GARCH models are subject to assumptions that random errors are a mixture of two normal distributions. It was shown that one of the components has a significantly larger weight but smaller volatility. Our interpretation is «common» themes form the usual news background and have a little effect on volatility, while more rare specific themes (and so more informative) have a stronger impact on volatility.

Keywords: stock market, news analytics, volatility components, natural language processing.

JEL: С32, C53, G17

DOI: https://doi.org/10.52180/2073-6487_2022_2_93_111

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For citations:

Gavrilov V., Ivanov M.A., Klachkova O.A., Korolev V.Yu., Roshchina Ya.A. (2022). Impact of news flows on components of Russian stock market volatility // Vestnik Instituta Ekonomiki Rossiyskoy akademii nauk № 2. Pp. 93-111. (In Russ.). https://doi.org/10.52180/2073-6487_2022_2_93_111

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