  This paper aims at solving FX market volatility modeling problem and finding
the most becoming approach to this task. Validity of two competing approaches,
classical econometric generalized conditional heteroscedasticity and
mathematical (singular spectrum analysis and dynamical systems stability
analysis) are tested on major currency pairs (EUR/USD, USD/JPY, GBP/USD) and
unique high-frequency USD/RUB data. The study shows that both mathematical
tools, understudied in econometric discourse, have a great potential in scope
of discussed problematic, as for all experiments covered in this research, both
of them show promising results.
