ENHANCING OF METHODS TO AVOID NON-STATIONARY IN AUTOREGRESSIVE MODELS OF FREE-FLOATING HRYVNYAS EXCHANGE RATE

The issue of stationary of exchange rate time series in the answer to movement in real market variables will be explored in this paper. Such issue is very important because the implementation of free-floating exchange rate regime for Hryvnia has evoked the rising volatility risk at financial market and threatened financial system stability. For that purpose, the overview of volatility clustering effects in Hryvnia's exchange rate will be investigated. Also, the GARCH-model properties will be discussed and employed in Ukrainian national currency unit forecasting with an aim to upgrade the reliability of prediction model. All obtained research results could be helpful in the development of monetary policy and setting monetary targets, which can provide sustainable pace of Ukrainian economy growth.