Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Yıl 2020, , 1 - 16, 25.06.2020

Mehmet Çanakcı Ömer Faruk Derindağ

https://doi.org/10.18037/ausbd.758022

Öz

This study examines the effects of daily US dollar returns on the short-term spill of TEA (Turkish Exporters Assembly) export index (TIMEX) returns. The uniqueness of this empirical paper is investigating the influence of indices of that are specifically designed for exporting companies. First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model. Then, the existence of asymmetric spread was investigated with GJR-GARCH (1,1)-M model and we obtained strong evidence that there is an asymmetric spread from dollar returns to TEA export index returns.

Anahtar Kelimeler

TIMEX, MV-GARCH, Volatility Spillover

Kaynakça

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