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VOLATILITY ANALYSIS OF THE UZBEK SOM-USD EXCHANGE RATE: AN APPLICATION OF ARCH-GARCH MODELS

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MAQOLA ANNOTATSIYASI

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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.

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Teglar

# currency# arch# volatility# exchange rate# GARCH# Uzbek sum

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Foydalanilgan adabiyotlar

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cbu.uz – Central Bank of Uzbekistan. https://cbu.uz/en/arkhiv-kursov-valyut/

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