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Korrelációbecslés a forintpiacon
[Correlation forecasting on the Hungarian forint market]

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  • Misik, Sándor

Abstract

A tanulmány célja a devizapiaci implicit korreláció előrejelző képességének összehasonlítása az idősoralapú modellekével a hazai devizapiacon. A devizák közti korreláció előrejelzésének különböző megközelítései - és azok megbízhatósága - különös érdeklődésre tarthat számot mind a kockázatkezeléssel, mind pedig a portfóliókezeléssel foglalkozó szakemberek körében. A forintpiacon forint/euró-forint/dollár-dollár/euró viszonylatban egy- és háromhavi előrejelzési időtávon a 2006-2023 közötti 16 év napi adatain végzett számítások megerősítik azokat a nemzetközi eredményeket, amelyek szerint az implicit korreláció önmagában nem tekinthető egyértelműen jobb előrejelzőnek, mint az idő sor alapú modellek. További eredmény, hogy a forint-euró-dollár deviza trió ban a különböző módszerek közötti sorrend megváltozik annak függvényében, hogy volatilitás- vagy korreláció-előrejelzésről van-e szó. A tanulmány eredményei szerint ennek a látszólagos ellentmondásnak a kulcsa a különböző devizapárok közötti volatilitásarányokban és azok előrejelzésében rejlik.* Journal of Economic Literature (JEL) kód: G13, F31, C53.

Suggested Citation

  • Misik, Sándor, 2023. "Korrelációbecslés a forintpiacon [Correlation forecasting on the Hungarian forint market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 772-794.
    • Handle: RePEc:ksa:szemle:2132
    DOI: 10.18414/KSZ.2023.7-8.772
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    References listed on IDEAS

    as
    1. Jose A. Lopez & Christian Walter, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York.
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    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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