CONDUCT RESEARCH STOCK MARKET BASED ON MODELS OF ARCH

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Authors

  • I.V. Burtnyak Vasyl Stefanyk Precarpatian National University, Ministry of Education and Science of Ukraine, Department of Economic Cybernetics, Shevchenko str., 57, Ivano-Frankivsk, 76018
  • G. P. Malitska 2Vasyl Stefanyk Precarpatian National University, Ministry of Education and Science of Ukraine, Department of Mathematical and functional analysis, Shevchenko str., 57, Ivano-Frankivsk, 76018

DOI:

https://doi.org/10.15330/apred.2.12.17-26

Keywords:

Autoregression models, econometric models, stock market, financial instruments, the PFTS index, volatility, time series

Abstract

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

Author Biographies

I.V. Burtnyak, Vasyl Stefanyk Precarpatian National University, Ministry of Education and Science of Ukraine, Department of Economic Cybernetics, Shevchenko str., 57, Ivano-Frankivsk, 76018

Ph.D (Econ.),  associate professor

G. P. Malitska , 2Vasyl Stefanyk Precarpatian National University, Ministry of Education and Science of Ukraine, Department of Mathematical and functional analysis, Shevchenko str., 57, Ivano-Frankivsk, 76018

Ph.D,  associate professor

References

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Published

2016-04-26