On two hypotheses in stochastic processes econometric modeling

Abstract

Purpose: Development of the apparatus of the stochastic processes econometric modeling. Discussion: The authors identify risk component in the dynamics of stochastic processes in the economy. Theoretical justification of the alternative and proportional expectations is used to make probabilistic nature of the risk. Results: The authors suggest stochastic process decomposition based on econometric approach to allocate a probability space of risks, and to identify shocks realizations that lie beyond the boundary of this space. Proportional expectations hypothesis distinguished two types of the event influence on the stochastic process realization: continuous (risk) and discrete (shock). The authors suggest model errors and residuals as the main source of information for the identification of the probability space of risks. The technique of econometric modeling of the price and return processes on stock market under the conditions of the proposed hypotheses is considered in the empirical part of the study. F-test results have not disproved the statement that the model residuals provide additional information about the simulated rate in the case of lack of relevant factors.