Приложение 3
Распределение активов по портфелям (по годам)
|
Тикер |
2019 |
2018 |
2017 |
2016 |
2015 |
2014 |
2013 |
2012 |
2011 |
|
|
GAZP |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
SBER |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
ROSN |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
LKOH |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
GMKN |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
SNGS |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
NVTK |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
VTBR |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
NLMK |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
OGKB |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
TATN |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
MC |
|
|
TGKA |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
MC |
|
|
TGKN |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
MSRS |
SC |
SC |
SC |
MC |
MC |
MC |
MC |
MC |
MC |
|
|
MTSS |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
CHMF |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
HYDR |
MC |
MC |
MC |
MC |
MC |
LC |
MC |
LC |
LC |
|
|
FEES |
MC |
MC |
MC |
MC |
MC |
MC |
LC |
LC |
LC |
|
|
MTLR |
SC |
SC |
SC |
SC |
SC |
SC |
MC |
MC |
LC |
|
|
MAGN |
LC |
LC |
LC |
MC |
MC |
MC |
MC |
MC |
LC |
|
|
MGNT |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
|
|
PLZL |
LC |
LC |
LC |
LC |
MC |
MC |
MC |
MC |
MC |
|
|
TRNF |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
LC |
MC |
|
|
AFKS |
MC |
MC |
MC |
MC |
MC |
LC |
MC |
MC |
MC |
|
|
RSTI |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
|
|
UPRO |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
|
|
RASP |
MC |
SC |
SC |
SC |
SC |
SC |
SC |
MC |
MC |
|
|
LSRG |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
|
|
TRMK |
SC |
SC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
|
|
IRAO |
MC |
MC |
MC |
MC |
MC |
MC |
LC |
LC |
MC |
|
|
RTKM |
MC |
MC |
MC |
MC |
MC |
LC |
LC |
MC |
MC |
|
|
MSNG |
MC |
MC |
MC |
SC |
SC |
SC |
MC |
MC |
MC |
|
|
ENRU |
SC |
SC |
SC |
SC |
MC |
SC |
MC |
MC |
MC |
|
|
AFLT |
MC |
MC |
MC |
MC |
MC |
MC |
SC |
SC |
MC |
|
|
PIKK |
MC |
MC |
MC |
MC |
MC |
MC |
SC |
SC |
SC |
|
|
MRKC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
AKRN |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
SC |
|
|
BSPB |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
MVID |
MC |
MC |
SC |
MC |
SC |
MC |
SC |
SC |
SC |
|
|
VSMO |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
MC |
SC |
|
|
MRKP |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
MRKV |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
MRKU |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
MRKZ |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
SVAV |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
WTCM |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
APTK |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
AMEZ |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
SC |
|
|
ALRS |
LC |
LC |
LC |
LC |
LC |
LC |
MC |
MC |
- |
|
|
MSTT |
SC |
SC |
SC |
SC |
SC |
SC |
MC |
SC |
- |
|
|
PHOR |
MC |
LC |
MC |
LC |
LC |
MC |
MC |
- |
- |
|
|
MOEX |
MC |
MC |
MC |
MC |
MC |
MC |
- |
- |
- |
|
|
POLY |
LC |
MC |
MC |
MC |
LC |
MC |
- |
- |
- |
|
|
YNDX |
LC |
LC |
LC |
LC |
LC |
- |
- |
- |
- |
|
|
RUAL |
LC |
LC |
LC |
LC |
- |
- |
- |
- |
- |
|
|
CBOM |
MC |
MC |
MC |
MC |
- |
- |
- |
- |
- |
|
|
SFIN |
SC |
MC |
MC |
SC |
- |
- |
- |
- |
- |
|
|
RNFT |
MC |
MC |
MC |
- |
- |
- |
- |
- |
- |
|
|
DSKY |
MC |
MC |
- |
- |
- |
- |
- |
- |
- |
|
|
OBUV |
SC |
SC |
- |
- |
- |
- |
- |
- |
- |
Приложение 4
Статистика по объёму торгов портфелей и среднедневной волатильности
|
Объём торгов, взвешенный по кол-ву активов, млрд. руб. |
Кол-во сделок, взвешенное по кол-ву активов, тыс. |
Среднедневная волатильность, % |
|||
|
Рыночный портфель |
Весь период |
1 532.78 |
15 110 |
2.70% |
|
|
2011-2013 |
619.91 |
5 087 |
2.83% |
||
|
2014-2016 |
440.03 |
4 900 |
2.85% |
||
|
2017-2019 |
472.84 |
5 123 |
2.40% |
||
|
LC |
Весь период |
3 881.64 |
32 810 |
1.85% |
|
|
2011-2013 |
1 655.66 |
12 561 |
1.84% |
||
|
2014-2016 |
1 089.88 |
10 337 |
1.69% |
||
|
2017-2019 |
1 138.16 |
9 931 |
1.98% |
||
|
MC |
Весь период |
425.07 |
7 375 |
2.04% |
|
|
2011-2013 |
99.63 |
1 675 |
2.22% |
||
|
2014-2016 |
113.19 |
2 398 |
2.15% |
||
|
2017-2019 |
212.69 |
3 312 |
1.73% |
||
|
SC |
Весь период |
73.24 |
2 855 |
3.97% |
|
|
2011-2013 |
16.96 |
389 |
4.23% |
||
|
2014-2016 |
15.76 |
812 |
4.21% |
||
|
2017-2019 |
40.55 |
1 657 |
3.49% |
Приложение 5
Подбор оптимальной GARCH спецификации к акциям, участвующим в исследовании на основе Loglikelihood
|
Stocks |
T-GARCH NORM |
T-GARCH SSTD |
E-GARCH NORM |
E-GARCH SSTD |
GARCH SSTD |
Лучшая спецификация GARCH |
|
|
AKRN |
6358.9 |
6544.0 |
6364.5 |
6556.4 |
6543.0 |
E-GARCH SSTD |
|
|
AFLT |
5730.2 |
5870.1 |
5722.5 |
5868.1 |
5869.5 |
T-GARCH SSTD |
|
|
AFKS |
5259.9 |
5685.0 |
5246.5 |
5681.6 |
5679.9 |
T-GARCH SSTD |
|
|
AMEZ |
5375.5 |
5669.6 |
5382.0 |
5675.3 |
5668.8 |
E-GARCH SSTD |
|
|
APTK |
5350.6 |
5960.8 |
5321.1 |
5981.2 |
5958.8 |
E-GARCH SSTD |
|
|
BSPB |
5864.1 |
6132.5 |
5879.0 |
6141.0 |
6131.2 |
E-GARCH SSTD |
|
|
CHMF |
5802.2 |
5882.1 |
5802.2 |
5880.2 |
5877.2 |
T-GARCH SSTD |
|
|
ENRU |
5938.2 |
6197.9 |
5948.4 |
6207.1 |
6197.9 |
E-GARCH SSTD |
|
|
FEES |
5379.2 |
5548.8 |
5380.1 |
5554.4 |
5540.3 |
E-GARCH SSTD |
|
|
GAZP |
6146.5 |
6292.7 |
6141.7 |
6294.4 |
6287.9 |
E-GARCH SSTD |
|
|
HYDR |
5851.2 |
5967.0 |
5831.4 |
5961.3 |
5963.1 |
T-GARCH SSTD |
|
|
LKOH |
6367.7 |
6449.0 |
6365.3 |
6446.5 |
6446.7 |
T-GARCH SSTD |
|
|
LSRG |
5826.8 |
6073.5 |
5849.7 |
6085.1 |
6072.4 |
E-GARCH SSTD |
|
|
MAGN |
5632.8 |
5705.9 |
5625.3 |
5700.5 |
5704.3 |
T-GARCH SSTD |
|
|
MGNT |
5771.2 |
5877.1 |
5764.0 |
5873.4 |
5871.3 |
T-GARCH SSTD |
|
|
MRKC |
5662.7 |
5860.4 |
5682.1 |
5868.5 |
5860.4 |
E-GARCH SSTD |
|
|
MRKV |
5293.7 |
5569.9 |
5333.9 |
5601.6 |
5570.3 |
E-GARCH SSTD |
|
|
MRKU |
5396.1 |
5632.3 |
5397.7 |
5637.1 |
5632.2 |
E-GARCH SSTD |
|
|
MRKP |
5451.0 |
5730.5 |
5464.8 |
5740.0 |
5730.5 |
E-GARCH SSTD |
|
|
MRKZ |
5216.4 |
5324.6 |
5217.2 |
5329.4 |
5323.6 |
E-GARCH SSTD |
|
|
MSNG |
5850.8 |
6040.6 |
5851.9 |
6042.7 |
6039.8 |
E-GARCH SSTD |
|
|
MSRS |
5955.9 |
6262.3 |
5991.7 |
6273.0 |
6262.0 |
E-GARCH SSTD |
|
|
MTLR |
4678.2 |
5064.3 |
4676.6 |
5060.7 |
5060.3 |
T-GARCH SSTD |
|
|
MTSS |
6125.4 |
6312.4 |
6134.0 |
6313.8 |
6311.5 |
E-GARCH SSTD |
|
|
MVID |
5785.4 |
6104.2 |
5818.3 |
6130.9 |
6103.1 |
E-GARCH SSTD |
|
|
NLMK |
5687.8 |
5732.5 |
5689.0 |
5731.8 |
5726.0 |
T-GARCH SSTD |
|
|
NVTK |
5944.5 |
6058.0 |
5950.9 |
6057.7 |
6056.1 |
T-GARCH SSTD |
|
|
OGKB |
5381.0 |
5563.3 |
5377.2 |
5560.9 |
5562.3 |
T-GARCH SSTD |
|
|
PIKK |
6188.2 |
6457.6 |
6188.9 |
6461.0 |
6457.1 |
E-GARCH SSTD |
|
|
PLZL |
5758.9 |
6341.0 |
5990.9 |
6350.8 |
6340.8 |
E-GARCH SSTD |
|
|
RASP |
5188.1 |
5411.6 |
5188.3 |
5412.5 |
5406.7 |
E-GARCH SSTD |
|
|
ROSN |
6253.8 |
6288.4 |
6254.7 |
6289.1 |
6287.4 |
E-GARCH SSTD |
|
|
RTKM |
6206.0 |
6432.9 |
6203.0 |
6441.7 |
6430.3 |
E-GARCH SSTD |
|
|
RSTI |
5124.5 |
5298.4 |
5121.1 |
5300.3 |
5296.1 |
E-GARCH SSTD |
|
|
SBER |
5798.8 |
5912.9 |
5802.5 |
5913.9 |
5907.9 |
E-GARCH SSTD |
|
|
SNGS |
6140.4 |
6225.7 |
6140.7 |
6225.0 |
6224.2 |
T-GARCH SSTD |
|
|
SVAV |
5648.4 |
5877.8 |
5660.4 |
5889.3 |
5875.9 |
E-GARCH SSTD |
|
|
TATN |
5751.2 |
5795.7 |
5756.6 |
5796.7 |
5786.3 |
E-GARCH SSTD |
|
|
TGKA |
5649.1 |
5761.7 |
5646.8 |
5762.3 |
5760.3 |
E-GARCH SSTD |
|
|
TGKN |
5218.7 |
5593.5 |
5229.3 |
5623.6 |
5593.4 |
E-GARCH SSTD |
|
|
TRMK |
5678.1 |
5906.6 |
5664.9 |
5912.8 |
5903.6 |
E-GARCH SSTD |
|
|
UPRO |
5987.7 |
6177.5 |
6013.2 |
6191.6 |
6177.3 |
E-GARCH SSTD |
|
|
VSMO |
6274.2 |
6542.3 |
6286.5 |
6557.0 |
6534.8 |
E-GARCH SSTD |
|
|
VTBR |
5962.6 |
6181.5 |
5958.7 |
6182.6 |
6179.7 |
E-GARCH SSTD |
|
|
WTCM |
5280.7 |
6315.4 |
5249.8 |
6095.1 |
6304.0 |
T-GARCH SSTD |
|
|
MSTT |
5800.1 |
6266.6 |
5791.3 |
6271.1 |
6266.5 |
E-GARCH SSTD |
|
|
GMKN |
6010.3 |
6155.3 |
5987.0 |
6153.6 |
6153.8 |
T-GARCH SSTD |
|
|
TRNFP |
5867.6 |
5987.4 |
5865.2 |
5991.5 |
5986.8 |
E-GARCH SSTD |
|
|
IRAO |
5557.1 |
5660.8 |
5542.9 |
5663.5 |
5655.5 |
E-GARCH SSTD |
|
|
ALRS |
5628.4 |
5893.8 |
5650.4 |
5889.3 |
5885.9 |
T-GARCH SSTD |
|
|
CBOM |
5761.2 |
5785.7 |
5766.6 |
5786.7 |
5776.3 |
E-GARCH SSTD |
|
|
DSKY |
5649.1 |
5761.7 |
5646.8 |
5762.3 |
5760.3 |
E-GARCH SSTD |
|
|
MOEX |
5218.7 |
5593.5 |
5229.3 |
5623.6 |
5593.4 |
E-GARCH SSTD |
|
|
POLY |
5678.1 |
5916.6 |
5674.9 |
5912.8 |
5905.6 |
T-GARCH SSTD |
|
|
OBUV |
5648.4 |
5877.8 |
5660.4 |
5889.3 |
5875.9 |
E-GARCH SSTD |
|
|
SFIN |
5761.2 |
5775.7 |
5776.6 |
5783.7 |
5786.3 |
GARCH SSTD |
|
|
YNDX |
5649.1 |
5761.7 |
5646.8 |
5762.3 |
5760.3 |
E-GARCH SSTD |
|
|
RNFT |
5218.7 |
5593.5 |
5229.3 |
5623.6 |
5593.4 |
E-GARCH SSTD |
|
|
PHOR |
5678.1 |
5906.6 |
5664.9 |
5912.8 |
5913.6 |
GARCH SSTD |
|
|
RUAL |
5381.0 |
5563.3 |
5377.2 |
5560.9 |
5562.3 |
T-GARCH SSTD |
|
Итого: |
60 |
|
|
E-GARCH SSTD |
41 |
|
|
T-GARCH SSTD |
17 |
|
|
GARCH SSTD |
2 |
Приложение 6
Подбор оптимальной GARCH спецификации к акциям, участвующим в исследовании на основе критерия Акаике (AIC)
|
Stocks |
T-GARCH NORM |
T-GARCH SSTD |
E-GARCH NORM |
E-GARCH SSTD |
GARCH SSTD |
Лучшая спецификация GARCH |
|
|
AKRN |
-5.618 |
-5.780 |
-5.623 |
-5.791 |
-5.780 |
E-GARCH SSTD |
|
|
AFLT |
-5.062 |
-5.184 |
-5.055 |
-5.182 |
-5.184 |
GARCH SSTD |
|
|
AFKS |
-4.646 |
-5.020 |
-4.634 |
-5.017 |
-5.017 |
T-GARCH SSTD |
|
|
AMEZ |
-4.748 |
-5.007 |
-4.754 |
-5.012 |
-5.007 |
E-GARCH SSTD |
|
|
APTK |
-4.726 |
-5.264 |
-4.700 |
-5.282 |
-5.263 |
E-GARCH SSTD |
|
|
BSPB |
-5.180 |
-5.416 |
-5.194 |
-5.424 |
-5.416 |
E-GARCH SSTD |
|
|
CHMF |
-5.126 |
-5.195 |
-5.126 |
-5.193 |
-5.191 |
T-GARCH SSTD |
|
|
ENRU |
-5.246 |
-5.474 |
-5.255 |
-5.482 |
-5.475 |
E-GARCH SSTD |
|
|
FEES |
-4.752 |
-4.900 |
-4.753 |
-4.905 |
-4.893 |
E-GARCH SSTD |
|
|
GAZP |
-5.430 |
-5.558 |
-5.426 |
-5.559 |
-5.554 |
E-GARCH SSTD |
|
|
HYDR |
-5.169 |
-5.270 |
-5.152 |
-5.265 |
-5.267 |
T-GARCH SSTD |
|
|
LKOH |
-5.626 |
-5.696 |
-5.624 |
-5.694 |
-5.695 |
T-GARCH SSTD |
|
|
LSRG |
-5.147 |
-5.364 |
-5.168 |
-5.374 |
-5.364 |
E-GARCH SSTD |
|
|
MAGN |
-4.976 |
-5.039 |
-4.969 |
-5.034 |
-5.038 |
T-GARCH SSTD |
|
|
MGNT |
-5.098 |
-5.190 |
-5.092 |
-5.187 |
-5.186 |
T-GARCH SSTD |
|
|
MRKC |
-5.002 |
-5.175 |
-5.020 |
-5.183 |
-5.176 |
E-GARCH SSTD |
|
|
MRKV |
-4.676 |
-4.919 |
-4.712 |
-4.947 |
-4.920 |
E-GARCH SSTD |
|
|
MRKU |
-4.767 |
-4.974 |
-4.768 |
-4.978 |
-4.975 |
E-GARCH SSTD |
|
|
MRKP |
-4.815 |
-5.061 |
-4.827 |
-5.069 |
-5.061 |
E-GARCH SSTD |
|
|
MRKZ |
-4.608 |
-4.702 |
-4.608 |
-4.706 |
-4.702 |
E-GARCH SSTD |
|
|
MSNG |
-5.169 |
-5.335 |
-5.170 |
-5.337 |
-5.335 |
E-GARCH SSTD |
|
|
MSRS |
-5.262 |
-5.531 |
-5.293 |
-5.540 |
-5.531 |
E-GARCH SSTD |
|
|
MTLR |
-4.132 |
-4.472 |
-4.130 |
-4.468 |
-4.469 |
T-GARCH SSTD |
|
|
MTSS |
-5.411 |
-5.575 |
-5.419 |
-5.576 |
-5.575 |
E-GARCH SSTD |
|
|
MVID |
-5.111 |
-5.391 |
-5.140 |
-5.415 |
-5.391 |
E-GARCH SSTD |
|
|
NLMK |
-5.025 |
-5.062 |
-5.026 |
-5.062 |
-5.057 |
T-GARCH SSTD |
|
|
NVTK |
-5.252 |
-5.350 |
-5.257 |
-5.350 |
-5.349 |
T-GARCH SSTD |
|
|
OGKB |
-4.753 |
-4.913 |
-4.750 |
-4.911 |
-4.913 |
T-GARCH SSTD |
|
|
PIKK |
-5.467 |
-5.703 |
-5.468 |
-5.706 |
-5.704 |
E-GARCH SSTD |
|
|
PLZL |
-5.087 |
-5.600 |
-5.293 |
-5.609 |
-5.601 |
E-GARCH SSTD |
|
|
RASP |
-4.583 |
-4.779 |
-4.583 |
-4.779 |
-4.775 |
E-GARCH SSTD |
|
|
ROSN |
-5.525 |
-5.554 |
-5.526 |
-5.554 |
-5.554 |
E-GARCH SSTD |
|
|
RTKM |
-5.483 |
-5.682 |
-5.480 |
-5.689 |
-5.680 |
E-GARCH SSTD |
|
|
RSTI |
-4.526 |
-4.678 |
-4.524 |
-4.680 |
-4.677 |
E-GARCH SSTD |
|
|
SBER |
-5.123 |
-5.222 |
-5.126 |
-5.223 |
-5.218 |
E-GARCH SSTD |
|
|
SNGS |
-5.425 |
-5.498 |
-5.425 |
-5.498 |
-5.498 |
T-GARCH SSTD |
|
|
SVAV |
-4.990 |
-5.191 |
-5.000 |
-5.201 |
-5.190 |
E-GARCH SSTD |
|
|
TATN |
-5.081 |
-5.118 |
-5.085 |
-5.119 |
-5.111 |
E-GARCH SSTD |
|
|
TGKA |
-4.990 |
-5.088 |
-4.988 |
-5.089 |
-5.088 |
E-GARCH SSTD |
|
|
TGKN |
-4.610 |
-4.939 |
-4.619 |
-4.966 |
-4.940 |
E-GARCH SSTD |
|
|
TRMK |
-5.016 |
-5.216 |
-5.004 |
-5.222 |
-5.214 |
E-GARCH SSTD |
|
|
UPRO |
-5.290 |
-5.456 |
-5.312 |
-5.468 |
-5.456 |
E-GARCH SSTD |
|
|
VSMO |
-5.543 |
-5.778 |
-5.554 |
-5.791 |
-5.773 |
E-GARCH SSTD |
|
|
VTBR |
-5.268 |
-5.459 |
-5.264 |
-5.460 |
-5.459 |
E-GARCH SSTD |
|
|
WTCM |
-4.665 |
-5.578 |
-4.637 |
-5.383 |
-5.569 |
T-GARCH SSTD |
|
|
MSTT |
-5.124 |
-5.535 |
-5.116 |
-5.539 |
-5.535 |
E-GARCH SSTD |
|
|
GMKN |
-5.310 |
-5.436 |
-5.289 |
-5.435 |
-5.436 |
T-GARCH SSTD |
|
|
TRNFP |
-5.184 |
-5.288 |
-5.181 |
-5.291 |
-5.288 |
E-GARCH SSTD |
|
|
IRAO |
-4.909 |
-4.999 |
-4.896 |
-5.001 |
-4.995 |
E-GARCH SSTD |
|
|
ALRS |
-5.347 |
-5.538 |
-5.455 |
-5.468 |
-5.497 |
T-GARCH SSTD |
|
|
CBOM |
-5.248 |
-5.409 |
-5.264 |
-5.460 |
-5.457 |
E-GARCH SSTD |
|
|
DSKY |
-5.123 |
-5.222 |
-5.126 |
-5.223 |
-5.218 |
E-GARCH SSTD |
|
|
MOEX |
-4.909 |
-4.999 |
-4.996 |
-5.003 |
-4.995 |
E-GARCH SSTD |
|
|
POLY |
-5.362 |
-5.551 |
-5.273 |
-5.570 |
-5.551 |
E-GARCH SSTD |
|
|
OBUV |
-4.867 |
-4.964 |
-4.868 |
-4.998 |
-4.955 |
E-GARCH SSTD |
|
|
SFIN |
-4.787 |
-4.874 |
-4.778 |
-4.878 |
-4.975 |
GARCH SSTD |
|
|
YNDX |
-5.737 |
-5.934 |
-5.768 |
-5.978 |
-5.975 |
E-GARCH SSTD |
|
|
RNFT |
-5.543 |
-5.778 |
-5.554 |
-5.791 |
-5.773 |
E-GARCH SSTD |
|
|
PHOR |
-5.767 |
-4.974 |
-4.768 |
-4.978 |
-5.975 |
GARCH SSTD |
|
|
RUAL |
-5.503 |
-5.708 |
-5.534 |
-5.771 |
-5.773 |
GARCH SSTD |
|
Итого: |
60 |
|
|
E-GARCH SSTD |
42 |
|
|
T-GARCH SSTD |
14 |
|
|
GARCH SSTD |
4 |
Приложение 7
Распределение доходностей, участвующих в исследовании