EKONOMETRIJSKO MODELIRANJE DEVIZNIH KURSEVA EVRA, BRITANSKE FUNTE I JENA PREMA DOLARU MULTIVARIJANTNI GARCH PRISTUP. (Serbian)

ECONOMETRIC MODELLING OF EURO, BRITISH POUND AND JAPANESE YEN EXCHANGE RATES AGAINST DOLLAR - MULTIVARIATE GARCH APPROACH. (English)

This paper examines the comparative volatility of major world currencies (the euro, British pound and Japanese yen) against the US dollar. The multivariate diagonal GARCH BEKK model was applied in the study. The conditional correlation was estimated by this model, as well as the conditional variance and covariance of the system of these three currencies. The results of the empirical analysis show significant agreement in the movement of foreign exchange rates, particularly between the euro and the British Pound. This means that there is a mutual transfer of volatility in exchange rates between currencies with a higher degree of correlation. Greater stability or instability of a currency is transferred to the volatility of other currencies. These findings influence the currency portfolio diversification and risk management. [ABSTRACT FROM AUTHOR]

U ovom radu se istražuje uporedna volatilnost vodećih svetskih valuta (evro, britanska funta i japanski jen) prema američkom dolaru. U istraživanju je primenjen dijagonalni multivarijantni GARCH BEKK model. Pomoću ovog modela ocenjena je uslovna korelacija, kao i uslovna varijansa i kovarijansa u sistemu od ove tri valute. Rezultati empirijske analize pokazuju značajno slaganje u kretanju deviznih kurseva, posebno između evra i britanske funte. To zapravo znači da postoji i međusobno prenošenje volatilnosti deviznih kurseva između valuta sa većim stepenom korelacije. Veća stabilnost ili nestabilnost jedne valute prenosi se i na volatilnost druge valute. Ovi nalazi utiču na valutnu diversifikaciju portfolija i upravljanje rizikom. [ABSTRACT FROM AUTHOR]

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