Evaluation and Management of Currency Risk Through Analysis of Time Series and Statistical Methods

Abstract

This study investigates the evaluation and management of currency risk by leveraging time series analysis and advanced statistical methods within the specific context of the Republic of Moldova’s economy. The research focuses on modeling the volatility of the Moldovan Leu using historical data to identify patterns and predict future exchange rate fluctuations. By applying statistical indicators such as standard deviation, variance, and Value-at-Risk (VaR), alongside time series models, the paper assesses the degree of exposure for economic agents. The findings demonstrate how quantitative analysis can refine hedging strategies, providing a robust mathematical framework for minimizing financial losses and enhancing decision-making in a volatile FX market. CZU: [336.745:330.131.7]:519.23; JEL: C46, F31, F33