Forecasting the Volatility of the Russian Stock Market in the Context of International Economic Sanctions

Abstract

The article is devoted to the study of trends in the development of the Russian stock market in the context of international economic sanctions. The purpose of the study is to make forecasts of the volatility of the Russian stock market using a scenario approach. Statistical data of the Moscow Stock Exchange were used for calculations. The authors have made a forecast of the volatility of the stock exchange market of the Russian Federation. The basis of the forecast calculations is the dynamics of the Moscow Exchange Index (IMOEX), taken as a key indicator of the Russian organized securities market, for the period from June 2013 to July 2022. Based on the basic historical dynamics of the Moscow Stock Exchange Index, negative (international economic sanctions are being tightened) and positive (implies the easing and/or lifting of some sanctions) scenarios for the development of the stock market of the Russian Federation are compiled. The scientific novelty is the authors’ assessment of the convergence of the volatility forecast under negative and positive scenarios to a certain level of volatility in 2023. The results of the calculations showed that under different scenarios of the situation, volatility tends to the same value at different assumed values of the Moscow Exchange Index, which allowed us to draw a new and practically significant conclusion that over time the economy of the Russian Federation stabilizes regardless of the tightening or easing of international economic sanctions — this may be due to the implementation of the country has a policy of import substitution, the formation of national production in most areas of the economy and the development of the domestic market. The work carried out by the authors contributes to the development of theoretical and applied economics in terms of making forecasts for the development of the stock market and using the results of forecasting to make economically sound decisions.