Alfred Nobel University, Dnipropetrovsk
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Alfred Nobel University, Dnipropetrovsk
ANALYZING ECONOMIC TIME SERIES WITH TIME-VARING VOLATILITY AS A WAY OF GLOBAL
MARKET STABILIZATION
Kateryna Bolotova,EE-12
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STRUCTURE1. The demand for formation of a new modern theory that
could solve one of the most important problems nowadays, that is the financial crisis.
2. Scientific activity of Robert Engle, a Nobel Prize Laureate in Economics.
3. The contribution of Robert Engle to prediction of the development of all types of markets and prices as a way to protect companies from a financial crisis.
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The Cycle of Market Economy
reco
very
recession
peak
trough
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Impact of the Crisis on Economic Activity
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ROBERT FRY ENGLE ІІІis an American
economist and the
winner of the 2003
Nobel Prize in
Economic Sciences
«for methods of
analyzing economic
time series with time-
varying»
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Robert F. Engle receiving
his Prize from King Carl
XV І Gustaf of Sweden at
the Stockholm Concert
Hall, 10 December 2003
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Now Robert F. Engle is s Professor with Chair of management of the Financial Department at New York University
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Autoregressive Conditional Heteroskedasticity
A R C H
MODELS
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One of the major tasks of the modern economics is to provide the
analysis and prediction of the development of all types of
markets. The prediction of prices takes a special place in the stock
market because the effectiveness of the managerial decision-
making depends on the prediction obtained.
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«The model of Engle has become indispensable not only for
scientists but also for the financial and market analysts, who
use it for property valuation and risk investment»
(the Swedish Academy of Sciences)
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HARD WORK
ENGLE’SMETHOD
Engle’s method could help an entrepreneur to be able to analyze economic time series to act
decisively in the right direction
CONCLUSION