Universal Journal of Accounting and Finance Vol. 9(4), pp. 653 - 666
DOI: 10.13189/ujaf.2021.090412
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Determinants of Volatility of the Derivative Financial Instrument in Ukraine


Oleksandr M. Petruk 1,*, Oksana S. Novak 1, Anastasiia O. Petruk 1, Nataliia H. Radchenko 2
1 Department of Finance and Crediting, Zhytomyr Polytechnic State University, 10005, Zhytomyr, Ukraine
2 Department of Finance, Banking and Insurance, Dmytro Motornyi Tavria State Agrotechnological University, 72312, Melitopol, Ukraine

ABSTRACT

The article discusses empirical calculations of sustainable development and volatility of derivative financial instruments in the banking system. The methodical approach to forecasting the index of the first stock trading system (FSTS) for sustainable market development is presented, considering the lack of normal distribution of financial resources in the banking system. It is substantiated that when choosing the volatility model and setting the option price, it is important to consider the theoretical generality and composition of the volatility structure, which is able to effectively and accurately estimate the parameters. It is proved that the rate of average volatility variable for modeling, analysis and stable assessment of important market parameters (i.e., local volatility) is determined using the moments of past periods. The real and forecast value of FSTS volatility at different values of the model parameter is developed. A model of implied volatility for the FSTS index is built. It is substantiated that the formulation of stable market development of derivative financial instruments takes into account all its semantic and financial features of resisting the influence of external and internal factors (shocks, imbalances) and maintaining dynamic equilibrium to ensure parameters of the entire financial system needed to form positive feedback between financial and real sector of the economy. The ratio of world GDP and the nominal value of derivative financial instruments were estimated. Maps of the market value of over-the-counter DFI, gross risk exposure in the over-the-counter DFI market and the nominal value of exchange-traded PFI are presented. The factor models of influence on the development of the exchange-traded and over-the-counter PFI market of world and national levels are constructed.

KEYWORDS
Derivative Financial Instruments, Volatility, Banking System, Index Options, Stock Market, Market Risks

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Oleksandr M. Petruk , Oksana S. Novak , Anastasiia O. Petruk , Nataliia H. Radchenko , "Determinants of Volatility of the Derivative Financial Instrument in Ukraine," Universal Journal of Accounting and Finance, Vol. 9, No. 4, pp. 653 - 666, 2021. DOI: 10.13189/ujaf.2021.090412.

(b). APA Format:
Oleksandr M. Petruk , Oksana S. Novak , Anastasiia O. Petruk , Nataliia H. Radchenko (2021). Determinants of Volatility of the Derivative Financial Instrument in Ukraine. Universal Journal of Accounting and Finance, 9(4), 653 - 666. DOI: 10.13189/ujaf.2021.090412.