ASSESSMENT OF THE IMPACT OF WESTERN SANCTIONS ON THE RUSSIAN STOCK MARKET BY THE HEAVY TAIL INDEX

This article examines the issue of analyzing extreme movements in stock yields and changes in the "heavy tail" of the Russian stock market after the imposition of sanctions. The results show that almost all the indices under consideration show a statistically significant increase in volatility. The point estimates of the tail index parameter for the entire sample are in the range (2.5; 3.2).