Compiling Price Volatility Index of Russian Exports
The paper constructs aggregate volatility index of the Russian export commodity prices. Taking the stochastic volatility model as the basis we get estimates of price volatilities of main export commodities. Than the estimates of individual price volatility are aggregated into single volatility index using information on the prices correlations and the export structure. The proposed index could be widely used in macroeconomic modeling. The paper demonstrates that its inclusion as an explanatory variable in the model for the Russian export improves the quality of the model.