@article{
author = "Penezić, Nenad and Anđelić, Goran and Milošević, Marko and Tot, Vilmoš",
year = "2020",
abstract = "Predmet ovog istraživanja je analiza i testiranje modifikovane GARCH metodologije u smislu kvantifikovanja uticaja stopa inflacije, kamatnih stopa na državne obveznice, referentnih kamatnih stopa i deviznih kurseva na dnevne stope prinosa na investicione aktivnosti na posmatranim finansijskim tržištima Severne Amerike, Srbije i Hrvatske. Cilj istraživanja, odnosno poseban fokus u istraživanju, je upoređivanje dobijenih rezultata između razvijenih finansijskih tržišta i finansijskih tržišta zemalja u razvoju, kao i testiranje modifikovane GARCH metodologije na posmatranim finansijskim tržištima. Ključni indikatori u istraživanju, za koje se pretpostavlja da utiču na dnevne stope povrata, bili su sledeći: stopa inflacije, kamatne stope na državne obveznice, referentna kamatna stopa i kurs. Vremenski period obuhvaćen istraživanjem je od 2005. do 2017. godine, gde širina vremenskog horizonta istraživanja omogućava testiranje modifikovane GARCH metodologije u periodima pre, tokom i posle globalne finansijske krize. Pored upotrebe modifikovanih ekonometrijskih modela GARCH, metodologija istraživanja uključuje upotrebu AIC, SIC i HQC (Akaike, Schwarz i Hannan-Quinn) kriterijuma za odabir najboljih modela, kao i odgovarajuće testove koji su pogodni i/ili prilagođeni specifičnim karakteristikama finansijskih tržišta, kako razvijenih, tako i zemalja u razvoju. Rezultati istraživanja potvrđuju ulogu i značaj modifikovane GARCH metodologije za efikasno kvantifikovanje investicionog rizika na razvijenim finansijskim tržištima naspram finansijskih tržišta zemalja u razvoju. U tom smislu, dobijeni rezultati istraživanja biće korisni i akademskoj zajednici i stručnoj javnosti u kontekstu donošenja odluka o ulaganju., The subject of this research is to analyze and test the modified GARCH methodology in terms of quantifying the impact of inflation rates, interest rates on government bonds, reference interest rates, and exchange rates on daily rates of return on investment activities in the observed financial markets of North America, Serbia and Croatia. The aim of the research, i.e. a special focus in the research, is to compare the obtained results between the developed financial markets and the financial markets of developing countries, as well as to test the modified GARCH methodology in the observed financial markets. The key indicators in the research, presumed to affect the daily return rates, were the following: inflation rate, interest rates on government bonds, reference interest rate and exchange rate. The time period covered by the research is from 2005 to 2017, where the width of the research time horizon allows testing the modified GARCH methodology in the periods before, during and after the global financial crisis. In addition to the use of modified GARCH econometric models, the research methodology includes the use of AIC, SIC and HQC (Akaike, Schwarz and Hannan-Quinn) criteria for selecting the best models, as well as the appropriate tests that are suitable for and/or adapted to the specific characteristics of financial markets of both developed and developing countries. The research results confirm the role and importance of the modified GARCH methodology for effective investment risk quantification in developed financial markets versus the financial markets of developing countries. In this sense, the obtained research results will be useful to both the academic community and the professional public in the context of investment decision making.",
publisher = "Univerzitet u Beogradu - Tehnički fakultet u Boru, Beograd",
journal = "Serbian Journal of Management",
title = "Primena modifikovane GARCH metodologije - razvijena finansijska tržišta protiv finansijskih tržišta u razvoju, Application of modified GARCH methodology: Developed financial markets versus emerging financial markets",
pages = "261-241",
number = "2",
volume = "15",
doi = "10.5937/sjm15-20566",
url = "conv_1057"
}