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research of nonstationary dynamics of indexes Penga by a method of a sliding window

To the groups of time series selected in item 2.4 the method of a sliding window (Zw=360, shift 1 days) for the purpose of the analysis of their nonstationary dynamics has been applied. Essential distinction in the form of oscillations has been revealed

F fractal indicators and \and 2 currency time series of different groups.

In particular, it was revealed, that currency time series with the average value of a fractal index close to 1.5, are characterised by low-frequency oscillations round average value (a Fig. 9), and a scatter of values on an index 2 is considerable above, than on an are all rows of group N concern To this type. In their dynamics the alternation [37] — symmetric oscillations of fractal indexes concerning the level corresponding SK clearly is expressed. Such behaviour is peculiar for dynamics of many the ENCORE and in this case specifies in effective balancing of the rate of exchange in the conditions of spontaneous modifications of the exterior parametres, ensuring stability of macroeconomic system.

The structure of oscillations of fractal indicators of unstable rates of exchange of group D shows bolshy than in group N stationarity level. Thus clearly phases regularly are selected
Overestimated (till 1.75) values of indexes Penga (a Fig. 10). For these currencies

Phases of the raised inflation are characteristic at lack

j

Large-scale crises. The stability of these financial systems is lowered in comparison with group N, however not to such degree, as in groups N considered further, L and And.

The time series reflecting precritical dynamics of unstable currencies, are characterised by stably overestimated or underestimated values of indexes Penga. In phase before crisis in group N univalently high level of indicators and, and а2 is observed, that will agree with presence of accurately expressed inflationary trends (fig. 11). In group And in precritical phase regularity of a sharp modification of values і and 2 from the raised level (> 1.75), registered long before crisis, to the lowered level (and

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A source: URITSKAYA OLGA JUREVNA. FORECASTING of ECONOMIC CRISES ON THE BASIS OF the FRACTAL ANALYSIS of DYNAMICS of RATES OF EXCHANGE. A thesis on competition of a scientific degree of a Cand.Econ.Sci. St.-Petersburg - 2004. 2004

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