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This research paper examines the volatility trends of the Uzbek Som (UZS) to US Dollar (USD) exchange rate using ARCH-GARCH models. Using daily exchange rate data from 2021 to 2024, we analyzed the presence of volatility clustering and leverage effects of the UZS/USD exchange rate. Our findings indicate significant ARCH and GARCH effects, volatility shocks are persistent in the Uzbek foreign currency exchange market. The results have important implications for risk management and policies in Uzbekistan's financial sector.

  • Название журналаRaqamli iqtisodiyot
  • Номер выпуска10-son
  • Количество просмотров 28
  • Количество прочтений 28
  • Дата публикации 08-01-2025
  • Язык статьиIngliz
  • Страницы1238-1245
English

This research paper examines the volatility trends of the Uzbek Som (UZS) to US Dollar (USD) exchange rate using ARCH-GARCH models. Using daily exchange rate data from 2021 to 2024, we analyzed the presence of volatility clustering and leverage effects of the UZS/USD exchange rate. Our findings indicate significant ARCH and GARCH effects, volatility shocks are persistent in the Uzbek foreign currency exchange market. The results have important implications for risk management and policies in Uzbekistan's financial sector.

№ Имя автора Должность Наименование организации
1 Pirnazarov D.. Master’s student on Econometrics Tashkent State University of Economics
2 Muminova M.. Assis. Prof. Department of Econometrics Tashkent State University of Economics
№ Название ссылки
1 Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
2 Bollerslev, T. (1987) A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics. 69(3), 542-547.
3 Devendra, K., J., Naqeeb, R., Omonjon, G., & Kapil, A. (2023). Currencies of greater interest for central Asian economies: an analysis of exchange market pressure amid global and regional interdependence. Financial Innovation, (2023), 9:46.
4 Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
5 Marc, S. P. (2019) Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH. John Wiley & Sons, Ltd. UK.
6 Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370.
7 Xuping, M., Jun, W., & Xiaolei, S. (2018). A study on the dynamics of exchange rate volatility spillover network: Evidence from Central Asia. Procedia Computer Science, 139 (2018), 76–81.
8 Zafar, B., Khasanjon, D., Jamshid, M., Jakhongirmirzo, F. (2019). Determinants of Exchange Rate Fluctuations of Uzbek Sum. Business and Management Studies, 5(1), 52-58.
9 cbu.uz – Central Bank of Uzbekistan. https://cbu.uz/en/arkhiv-kursov-valyut/
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