Alexander Vasiljev-Muller Dr.econ(PhD)

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MODELLING DYNAMICS OF UKRAINIAN FUND MARKET DEVELOPMENT MARKET DEVELOPMENT/Burtnyak I.V.
       A vagueness incident to the market is measured by variations orcovariations, changes in time. The study of these changes gained systematic character only with appearance of models of autoregressive conditional heteroskedastic (ARCH). The basic idea of the ARCH model consists in a difference between the conditional and absolute moments of the second order. While absolute variations and covariations permanent, conditional moments not banally depend on the past states and develop in time. To this time of model, in basis of which the idea offered Engl lies actually, is widely used for the modelling of profitability and volatility in the economy of both the developed countries and countries which develop. By a term volatility overcame conditional dispersions and covariations. On objective reasons, far less works are devoted to the Ukrainian fund market analysis. New concepts, models and methods of evaluation, offered Engl, allowed to decide two on principle important problems of econometric modelling of economic processes and intercommunications which stood before economists during many years. The offered models, lead theoretical pre-conditions lie in basis of which economic, became the lead methods of econometric modelling of unstationary time series and financial time series statistically. Lately the analysis of unstationary variable and time series with the variable of volatility became an inalienable constituent in labours of modern economists.
       An inflationary vagueness became the first object of modelling. Afterwards the ARCH models found application in the volatility price and profitability of speculative assets analysis. It is set by Application of the ARCH models, that the dynamics of volatility many financial variables submit to proof conformities to the law. The study of dynamics of covariations is the purpose of this lecture some indicators of financial market of Ukraine with application of methods of the ARCH design. As indicators of financial market we adopt the most aggregated variables, which characterize profitability or cost of market brief-case, but not separate assets which make this brief-case. The index of the First Fund Auction System comes forward the indicator of market of actions (PFTS). Conditional dispersion of financial indicators represents the level of system risk, measures the vagueness related to prognostication of dynamics of market.
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Conclusions:
       At first force of dependence between a course and turn diminishes with the flow of time. The substantial influencing of all four international indexes becomes firmly established secondly, with between which most RTS is given out. It costs to pay attention, that the constructed equalization confirms dynamic copulas and all explaining variables are late on one interval. It means that a model can be directly used as instrument for prognostication. With between the analyzed three basic types of the ARCH models the best the GARCH(1,1) model appeared. It costs to add, that verification which is up to exchange companies specifies, that for separate equity prices often the ARCH(1) model was the most proper. It can testify to creation of dependence between the risk and rate of turn for actions of separate firms. The models of the ARCH class do not find correct application for small companies. The casual chart of forming of increases of courses does not predetermine the lack of effect of groupment of variation. Extending basic equalization of regression for causally investigation dependence of the PFTS index by introduction of exchange turns and international indexes, we can assert about substantial influence of these indexes on the Ukrainian fund market..



Источник: http://azov-academy.ucoz.org/publ/stati_i_nauchnye_publikacii_articles_science/demokratichni_chinniki_v_konteksti_suchas
Категория: Scandinavia-Bavaria-Khust //Скандинавия-Бавария-Хуст /Мюллеры-Кумпаны-Валерий Васильев | Добавил: Vasiljev (2010-10-15) | Автор: Burtnyak I.V.
Просмотров: 932 | Теги: Leontjef W.W., Akof, Burtnyak I.V. | Рейтинг: 5.0/1 |
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