Methodological Principles of Simulating Asymmetrical Volatility of Corporate Credit Market Dynamics
Journal Title: Oblik i finansi - Year 2024, Vol 1, Issue 3
Abstract
Forecasting and modelling of price dynamics of financial instruments and their volatility is an essential element of technical analysis of financial markets. The real sector is also interested in changes in volatility as it seeks to maintain stability in financial and commodity markets. The article aims to develop methodological approaches to modelling the dynamics and volatility of the Ukrainian corporate credit market using asymmetric GARCH approaches. It has been established that the risky nature of financial markets is a prerequisite for analyzing and modeling the volatility of their dynamics in order to correctly respond to possible spikes in volatility, as well as to predict their duration. The analysis was based on daily data on interest rates on the corporate credit market. A graph of the initial time series, autocorrelation functions was plotted, the series was checked for stationarity by the Dickey–Fuller test, which led to its differentiation and subsequent formation of the optimal ARIMA specification. When checking the residuals for autocorrelation and the ARCH effect, positive results were obtained, which led to the use of the GARCH model. Going through various GARCH specifications made it possible to choose GJR-GARCH for modeling, which takes into account the asymmetry of the impact of information shocks on the profitability management of active bank operations. The resulting model was tested by the Leung–Box test, the ARCH LM test, and the Pearson test for the optimality of the specification. The model was compared with actual time series data. All the results confirmed the correctness of the built models, which allows them to be used for analysis and forecasting for further periods.
Authors and Affiliations
Oleksandra Mandych & Tetiana Staverska & Vitaliy Makohon
Peculiarities of Formation of the System for Protection of Pension Assets of Accumulative Pension Programs
European countries widely use multi-level pension systems, and Ukraine has also gone the way of building a three-level pension model. The use of funded pension programs is associated with the need to create a system of p...
Облік податку на прибуток: проблеми та шляхи їх вирішення
В обліку при розрахунку податку на прибуток можуть виникають відмінності, що зумовлені розбіжністю оновлених норм національних положень (стандартів) бухгалтерського обліку та Податкового кодексу України. Тому актуальним...
Organizational and Methodical Approaches to the Introduction of Mass Damage Assessment
Periodically, the government and experts declare hundreds of billions of US dollars in war losses incurred by Ukraine. However, this is a generalized assessment. Object-by-object expert assessment has an inconsiderable a...
Необхідність оцінки якості фінансової звітності
Метою статті є обґрунтування необхідності оцінки якості облікової інформації на основі використання кваліметричного інструментарію. Обґрунтовано роль оцінки якості облікової інформації в забезпеченні конкурентоспроможнос...
Діагностика та систематизація основних ознак банківських криз
В умовах ескалації кризових явищ в економічній та банківській системі України діяльність банків супроводжується підвищеним рівнем ризику та значними загрозами погіршення їх фінансового стану. Такий стан обумовлюється вна...