ABSTRACT
In this chapter, we make an attempt to forecast the dynamics of bond and stock indices of emerging markets on the basis of the SSA Caterpillar method. The Russian market in conditions of sanction shock in April 2018 is of especial interest. We analyze and compare the dynamics of actual versus estimated values of indices under consideration varying the parameters of the SSA Caterpillar method: length of forecast period, the length of the embedded vector and the number of eigenvectors. We conclude that in most specifications the maximum forecast error is demonstrated by the MSCI Russia stock index and the minimum errors by the index of rouble corporate bonds MICEX CBI TR and the index of investment grade corporate bonds of emerging markets Euro-Cbonds IG Corporate EM.
