VOLATILITY OF FINANCIAL INSTRUMENTS ON THE KAZAKHSTAN STOCK MARKET: MEASUREMENT AND FORECASTING

Volatility of financial instruments is a key characteristic of market risk and reflects the degree of uncertainty of future prices and returns, determining decisions in the field of portfolio management, pricing of derivatives, risk management and financial stability monitoring. For emerging markets, including the Republic of Kazakhstan, the importance of correctly measuring and forecasting volatility increases due to the limited depth and liquidity of the market, high concentration of trading and sensitivity of yields to macroeconomic and external shocks. The purpose of the study is to measure and predict the volatility of key financial instruments of the stock market of the Republic of Kazakhstan based on time series analysis methods and models of conditional heteroscedasticity. The empirical base is based on data from the Kazakhstan Stock Exchange (KASE) and official analytical materials of the exchange, including the KASE index indicators and weekly reviews of KASE Weekly. Yields were calculated in the form of logarithmic price increments. At the diagnostic stage, tests of stationarity (ADF/PP), autocorrelation (Ljung–Box), normality (Jarque–Bera) and ARCH effects (ARCH-LM) were applied. The results obtained indicate the stationarity of the yield series with a statistically significant deviation of the distributions from the normal law, the presence of “heavy tails”, asymmetry and pronounced clustering of volatility. The revealed ARCH effects confirm the need for conditional variance modeling and justify the use of ARCH/GARCH models and their asymmetric extensions (EGARCH, GJR-GARCH), as well as taking into account alternative distributional assumptions. The practical significance of the study lies in the possibility of applying the results for dynamic assessment of market risk, VaR calculations and improvement of risk management and regulatory monitoring procedures in the securities market of Kazakhstan.