TY  - JOUR
T1  - An Extensive Analysis of FTSE 100 Realized Volatility with Different Information Channels
TT  - An Extensive Analysis of FTSE 100 Realized Volatility with Different Information Channels
AU  - Korkusuz, Burak
PY  - 2025
DA  - May
Y2  - 2025
DO  - 10.29023/alanyaakademik.1565468
JF  - Alanya Akademik Bakış
PB  - Alanya Alaaddin Keykubat Üniversitesi
WT  - DergiPark
SN  - 2651-4192
SP  - 469
EP  - 482
VL  - 9
IS  - 2
LA  - en
AB  - Bu makale, Avrupa Birliği ve Amerika Birleşik Devletleri'nden gelen dış bilgi akışlarının FTSE 100 endeksinin oynaklığı üzerindeki etkisini, 5 dakikalık gün içi verilerden türetilen gerçekleşen varyans (RV) verilerini kullanarak araştırmaktadır. Dış faktörler, Birleşik Krallık'a özgü, Avrupa bölgesi ve ABD odaklı gruplar olarak kategorize edilerek, bu değişkenler HAR-RV modeline entegre edilmiştir ve böylece oynaklık tahminlerinin doğruluğu artırılmıştır. Ampirik sonuçlar, küresel ve bölgesel faktörlerin, özellikle S&P 500 ve NASDAQ gibi ABD piyasa göstergelerinin, FTSE 100 oynaklığı üzerinde önemli bir etkisi olduğunu, ancak Birleşik Krallık'a özgü yerel faktörlerin ek bilgi içermediğini göstermektedir. Tüm ABD odaklı değişkenleri içeren ABD odaklı Kitchen-Sink modeli, hem örnek içi hem de örnek dışı tahminlerde en etkili model olduğunu kanıtlamıştır. Yüksek frekanslı verilerin kullanımı bu bağlamda kritik öneme sahiptir, çünkü piyasa oynaklığının daha hassas bir şekilde ölçülmesine ve tahmin edilmesine olanak tanımaktadır. Bu bulgular, FTSE 100 gibi uluslararası yönelimli hisse senedi endekslerinin oynaklığını modelleme ve tahmin etmede geniş bir dış faktör yelpazesinin dahil edilmesinin önemini vurgulamaktadır.
KW  - Volatilite Tahmini
KW  - Gerçekleşen Volatilite
KW  - HAR-RV-X modeli
KW  - Bilgi Kanalları
KW  - FTSE 100
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UR  - https://doi.org/10.29023/alanyaakademik.1565468
L1  - https://dergipark.org.tr/en/download/article-file/4280905
ER  -