CONDUCT RESEARCH STOCK MARKET BASED ON MODELS OF ARCH

Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/1938

Title:	CONDUCT RESEARCH STOCK MARKET BASED ON MODELS OF ARCH
Authors:	Буртняк, Іван Володимирович Малицька, Ганна Петрівна
Keywords:	Autoregression models, econometric models, stock market, financial instruments, the PFTS index, volatility time series
Issue Date:	11-Feb-2016
Publisher:	Vasyl Stefanyk Precarpathian National University, 57 Shevchenka str., 76018, Ivano-Frankivsk, Ukraine
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
URI:	http://hdl.handle.net/123456789/1938
Appears in Collections:	Статті та тези (ЕФ)

Files in This Item:

File	Description	Size	Format
aprer_2016_12(2)__5 (2).pdf		2.46 MB	Adobe PDF	View/Open

DSpace JSPUI