CONDUCT RESEARCH STOCK MARKET BASED ON MODELS OF ARCH
DOI:
https://doi.org/10.15330/apred.2.12.17-26Keywords:
Autoregression models, econometric models, stock market, financial instruments, the PFTS index, volatility, time seriesAbstract
The purpose of this article is to study the dynamics of the volatility of some indicators of financial market of Ukraine using the methods ARCH modeling. As indicators of the financial market we take the most aggregated variables describing profitability or market price of the portfolio, but not individual assets constituting the portfolio. An indicator of the stock market index stands First Stock Trading System (PFTS). The conditional variance of financial indicators reflecting the level of systemic risk, measures the uncertainty associated with forecasting market dynamics.
JEL: C 50
References
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2. Granger, C. W. J., and M. Hatanaka. Spectral Analysis of Economic Time Series, Princeton, N. J.: Princeton Univ. Press, 1964. Print.
3. Blahun, I.S., and I.V. Burtnyak. Modeling of development of the stock market: Monograph. Ivano-Frankivsk: Publisher Victor Dyakiv, 2011. Print.
4. Blahun, I.S., and I.V. Burtnyak. “Evaluation and forecasting the dynamics of the stock market.” Modern problems of socio-ekonomycheskyh modeling systems: Monohrafyya. Kharkiv: "INZHEK", 2009. 135-50. Print.
5. Burtnyak, I.V. “Modeling dynamics of development of the stock market with models pomoshchju ARCH.” Business Inf. 12(2009): 131-35. Print.
6. Burtnyak, I.V., and G.P. Malitska. “Interaction between stock indexes based models ARCH.” Journal of East nat. univ. named after V. Dalya 12(2009): 102-10. Print.
7. Burtnyak, I.V., and G.P. Malytska. “Modeling dynamics PFTS index.” Business Inf. 1(2010): 60-65. Print.
8. Burtnyak, I.V., and G.P. Malytska. “Model dependent way volatility for the index PFTS.” Business Inf. 3(2012): 48-50. Print.
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Published
2016-04-26
How to Cite
Burtnyak, . I., & Malitska , G. P. (2016). CONDUCT RESEARCH STOCK MARKET BASED ON MODELS OF ARCH. The Actual Problems of Regional Economy Development, 2(12), 17–26. https://doi.org/10.15330/apred.2.12.17-26
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Financial market
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