MODELS FOR SECURITY PRICE VOLATILITY: THEORETICAL BASIS AND PRACTICAL ANALYSIS
DOI:
https://doi.org/10.55640/Keywords:
securities, volatility, GARCH model, financial time series, risk, heteroskedasticity, forecasting, investment.Abstract
This scientific paper provides an in-depth analysis of the theoretical and practical aspects of applying GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models to assess the volatility of securities prices. The study examines key characteristics of financial time series, including volatility clustering, heteroskedasticity, and asymmetric effects. The mathematical foundations of the GARCH model, the economic interpretation of its parameters, and their role in financial risk assessment are discussed. In addition, various extensions of the model and their practical applications are analyzed.
References
1.Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
2.Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.2307/1912773
3.Tsay, R. S. (2010). Analysis of financial time series (3rd ed.). Wiley.
4.Brooks, C. (2019). Introductory econometrics for finance (4th ed.). Cambridge University Press.
5.Hull, J. C. (2021). Options, futures, and other derivatives (11th ed.). Pearson.
6.Alexander, C. (2008). Market risk analysis, volume II: Practical financial econometrics. Wiley.
7.Hamilton, J. D. (1994). Time series analysis. Princeton University Press.
8.Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics (5th ed.). McGraw-Hill.
9.Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. https://doi.org/10.2307/2938260
10.Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
11.Poon, S. H., & Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478–539. https://doi.org/10.1257/002205103765762743
12.Shodmonov, Sh., & G‘afurov, U. (2018). Iqtisodiyot nazariyasi. Toshkent: O‘zbekiston.
13.Karimov, A., & Xolmatov, N. (2021). Moliyaviy bozorlar va risklarni boshqarish. Toshkent: Iqtisodiyot nashriyoti.
14.Mirzayev, B. (2022). O‘zbekiston fond bozorida volatilitetni baholash usullari. Iqtisodiyot va innovatsion texnologiyalar, 6(2), 45–56.
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors retain the copyright of their manuscripts, and all Open Access articles are disseminated under the terms of the Creative Commons Attribution License 4.0 (CC-BY), which licenses unrestricted use, distribution, and reproduction in any medium, provided that the original work is appropriately cited. The use of general descriptive names, trade names, trademarks, and so forth in this publication, even if not specifically identified, does not imply that these names are not protected by the relevant laws and regulations.
