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2018, vol. 21, br. 82, str. 81-96
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Modeliranje volatilnosti deviznog kursa dinara prema evru primenom ARCH/GARCH modela
Modeling the volatility of dinar exchange rate according to the euro by application of the ARCH / GARCH models
aBeogradska poslovna škola, Visoka škola strukovnih studija, Beograd
bEuroaudit, Beograd
Sažetak
Učesnici na finansijskom tržištu, finansijski analitičari i investitori, koji su motivisani za kvantitativno sagledavanje budućih oscilacija deviznog kursa, u cilju zaštite od rizika deviznog kursa, razvili su niz ekonometrijskih modela pomoću kojih se analizira kretanje prinosa deviznog kursa. Među ovim modelima, istaknuto mesto pripada modelima autoregresione uslovne heteroskedastičnosti i modelima uopštene autoregresione uslovne heteroskedastičnosti, odnosno ARCH i GARCH modelima. Osnovni zadatak ARCH i GARCH modela jeste analiza vremenskih serija u kojima se nalazi nestabilnost uslovne varijanse. U radu su ispitivane performanse GARCH i ARCH modela sa ciljem izračunavanja određenih pokazatelja volatilnosti, kako bi se pomoću njih mogle doneti kvalitetne finansijske odluke.
Abstract
Financial market participants, financial analysts and investors, motivated to quantify the future fluctuations in the foreign exchange rate, in order to protect against exchange rate risk, have developed a series of econometric models that analyze the movement of foreign exchange rate yields. Among these models, the prominent place belongs to autoregressive conditional heteroskedasticity models (ARCH models) and models of generalized autoregressive conditional heterostructures (GARCH models), that is ARCH and GARCH models. The basic task of the ARCH and GARCH model is the analysis of time series in which the instability of conditional variance. This paper examines the performance of GARCH and ARCH models with the aim of the paper to calculate certain indicators of volatility in order to make high-quality financial decisions with them.
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