Mongolia’s TOP-20 Index Risk Analysis (2016) 

This work covers visual detection of non-Gaussian features in the data, volatility modelling (RiskMetrics, GARCH), distribution fitting (Gaussian, Student’s t, extreme value theory), Value at Risk and Expected Shortfall, backtesting, simulation techniques, and plain vanilla derivatives.

Mongolia’s TOP-20 Index Risk Analysis, Pt. 2 (2017)

This work surveys, and formally tests the presence of, the most important stylised facts of TOP-20 Index (autocorrelation of log and squared returns, volatility clustering, positive skewness and negative leverage, positive ex-cess kurtosis). By incorporating them in the risk models (asymmetric extensions of GARCH, asymmetric Student’s t), we achieve a near-perfect fit of the left tail of the distribution of returns.

Mongolia’s TOP-20 Index Risk Analysis, Pt. 3 (2017)

This work focuses on modelling the right tail of the distribution of returns, which is important in the presence of positive skewness and negative leverage. It provides an in-depth coverage of the two main approaches in extreme value theory: extrema, or block maxima (BM) and peek-over-threshold (POT). By modelling the right tail with EVT, we achieve a near-perfect fit of the whole distribution of returns.

Should You Add TOP-20 To Your Asset Mix? (2017)

This work analyses the historical risk-return performance of one-month investments in TOP-20 Index portfolios, pointing out the improved market efficiency since the April 8, 2011 agreement between MSE and London Stock Exchange.

Should You Add TOP-20 To Your Asset Mix? (2017)

In light of the recent growth in the trading of shares of TOP-20 constituents, we forecast the performance of one-month investments in index-mimicking portfolios for the period January 30 – February 24.

TOP-20 Index Market Forecast, March 2017 (2017)

We review the most important features of TOP-20 Index (positive skewness and negative leverage) showing why they are beneficial for investors, assess last month’s performance of TOP-20 portfolios, and make a prediction for the period March 6 – April 3.