Dean Fantazzini’s paper titled “Forecasting and Backtesting of Market Risks in Emerging Markets” is now published as Chapter 9 in the textbook titled Risk Assessment and Financial Regulation in Emerging Markets’ Banking, edited by Karminsky A.M., Mistrulli P.E., Stolbov M.I., and Shi Y., and published by Springer/
Emerging markets often go through periods of financial turbulence and the estimation of market risk measures may be problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH), and a detailed forecasting and backtesting investigation is performed.