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Garch Modelleri Ve Varyans Kırılması: İmkb Örneği

Year 2011, Volume: 20 Issue: 3, 161 - 178, 01.09.2011

Dr. Sevda Gürsakal

Abstract

In this study; breaks in stock price volatility are detected with ICSS algorithm which was developed by Inclan and Tiao 1994 After detecting multiple breaks in variance dummy variables are introduced to the variance equation of GARCH 1 1 model to account for the sudden changes in variance We examined daily İMKB U30 return series and found that volatility persistence has considerably dwindled in new GARCH 1 1 model with eight dummy variables Key Words: GARCH Variance Break ICSS Volatility

Keywords

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References

  • Aggarwal, R., Inclan C. ve Leal R. (1999), “Volatility in Emerging Stock Markets”, The Journal of Financial and Quantitative Analysis, Vol. (34), No. 1, pp. 33-55.
  • Andersen, T. G.; Tim B. (1998), “Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies” The Journal of Finance, Vol. 53, No. 1. pp. 219-265.
  • Bollerslev, T. (1986), “Generalized Autpregreesive Conditional Heteroscedasticity”, Journal of Econometrics, 31, pp..307-327
  • Diebold FX. (1986), Modeling the persistence of conditional variances: A comment. Econometric Reviews 5, pp.51-56.
  • Diebold, F. X. (1988). “Empirical Modeling of Exchange Rate Dynamics”Lecture Notes in Economics and Mathematical Systems, vol. 303, Springer-Verlag, New York
  • Dunis, C. L., Jason L. ve Stephane C. (2000), “The Use of Market Data and Model Combination to Improve Forecast Accuracy” Working Paper Liverpool Business School.
  • Enders, W. (2004); Applied Econometric Time Series, 2. Edition, John Willey and Sons, New York
  • Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation” Econometrica Vol. 50, No. 4. pp. 987-1007.
  • Engle, R. F. (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics” The Journal of Economic Perspectives, Vol. 15, No. 4. pp. 157-168.)
  • Engle, R. F.(1993), “Statistical models for financial volatility”, Financial Analyst Journal, 49(1), pp.72-78
  • Engle, R. F. and Bollerslev, T. (1986), "Modelling the Persistence of Conditional Variances," Econometrics Review, 5. pp.1-50.
  • Fernandez, V.; (2005), “Structural Breakpoints in Volatility in International Markets”, The Institute for International Integration Studies Discussion Paper Series , No: 76 pp.1-36
  • Fong, W. M. (1998), “The Dynamics of DM=£ Exchange Rate Volatility: A SWARCH Analysis” International Journal of Finance and Economics (3) pp. 59-71
  • Franses, P. H. and McAleer M. (2002) “Financial Volatility: An Introduction” Journal of Applied Econometrics 17: pp.419-424
  • Güloğlu, B. ve Akman A. (2007), “Türkiye’de Döviz Kuru Oynaklığının SWARCH Yöntemi ile Analizi”, Finans Politik & Ekonomik Yorumlar, Cilt: 44 Sayı:512, ss. 43-51
  • Hendry, D. F.(1986), “An excursion into conditional variance land”. Econometric Reviews, 5, 1986, pp. 63-69.
  • Hsieh, D. A. (1989), “Modeling Heteroscedasticity in Daily Foreign-Exchange Rates” American Statistical Association Journal of Business & Economic Statistics, Vol. 7, No. 3, pp.307-317.
  • Inclan C.; Tiao G. C. (1994), “Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance”, Journal of the American Statistical Association, Vol. 89, No. 427., pp. 913-923.
  • Jorion, P. (1995), “Predicting Volatility in the Foreign Exchange Market”, Journal of Finance 50:2, pp. 507-528
  • Lamoureux, C. G. ve Lastrapes W. D. (1990), “Persistence in Variance, Structural Change, and the GARCH Model”, Journal of Business & Economic Statistics, Vol. 8, No. 2., pp. 225-234.
  • Malik, F. (2003), “Sudden Changes .In Variance And Volatility Persistence İn Foreign Exchange Markets”, Journal. of Multinational. Financial. Management 13 pp.217-230
  • Malik, F. and Hassan, S. A.(2004), “Modeling Volatility in Sector Index Returns with GARCH Models Using an Iterated Algorithm”, Journal of Economics and Finance, Volume 28, Number 2 / June, 2004, pp. 211-225
  • Mandelbrot, B. (1963), “The Variation of Certain Speculative Prices”, The Journal of Business, Vol. 36, No. 4. , pp. 394-419
  • Nelson, D. B. (1991) “Conditional Heteroskedasticity on Asset Retuns: A New Approach”, Econometrica, 59(2), pp. 347-370
  • Pagan, A. R. Ve Schwart G. W. (1989), “Altenative Models for Conditional Stock Volatility”, National Bureau of Economic Research (NBER) Working Paper Series, 2 955
  • Poon, S.-H. ve Granger C. W. J. (2003), “Forecasting Volatility in Financial Markets: A Review”, Journal of Economic Literature, Vol. 41, No. 2. pp. 478-539.
  • Pooter, M. ve Dijk D. (2004), “Testing for Changes in Volatility in Heteroskedastic Time Series- A Further Examination”, Econometric Institute Report EI 2004-38, pp. 1-39
  • Rapach, D. E., Strauss J. K. , Wohar M. E. (2007), “Forecasting Stock Return Volatility in the Presence of Structural Breaks”, Forecasting in the Presence of Structural Breaks and Model Uncertainty (Book Article), pp. 1-38
  • Rapach, D. E. and Strauss J. K.(2008), “Structural Breaks and GARCH Models of Exchange Rate Volatility”, Journal of Applied Econometrics,(23), pp.65-90
  • Tong, F. ve X. Zhou (2007), “The Structural Shifts in the Volatility of China’s Stock
  • Market and Important Events”, Asian Social Science, Vol. 3, No. 1, pp.19-23
  • Wang, P. ve T. Moore (2009), “Sudden changes in volatility: The case of five central European stock markets”, International Financial. Markets, Institutions. and Money, 19 pp. 33–46
  • Yalçın, Y. “Stokastik Oynaklık Modeli İle İMKB’de Kaldıraç Etkisinin İncelenmesi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22, 2007, ss.357-365

GARCH MODELLERİ VE VARYANS KIRILMASI: İMKB ÖRNEĞİ

Year 2011, Volume: 20 Issue: 3, 161 - 178, 01.09.2011

Dr. Sevda Gürsakal

Abstract

Bu çalışmada hisse senedi oynaklığındaki kırılmalar Inclan ve Tiao’nun 1994 ICSS Iterative Cumulative Sum of Squares algoritması ile tespit edilmiş bulunan kırılma noktaları kukla değişkenler olarak GARCH modeline eklenmiş ve kırılmaların dikkate alındığı yeni bir GARCH modeli oluşturulmuştur Çalışmada İMKB Ulusal 30 günlük getiri serisi kullanılmış bulunan sekiz kırılma noktası modele dahil edildiğinde oynaklık kalıcılığında önemli bir azalma olmuştur Bu da yatırımcılara riske karşı alacakları tutum konusunda ışık tutacak önemli bir sonuçtur

Keywords

GARCH Varyans Kırılması ICSS Volatilite

References

  • Aggarwal, R., Inclan C. ve Leal R. (1999), “Volatility in Emerging Stock Markets”, The Journal of Financial and Quantitative Analysis, Vol. (34), No. 1, pp. 33-55.
  • Andersen, T. G.; Tim B. (1998), “Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies” The Journal of Finance, Vol. 53, No. 1. pp. 219-265.
  • Bollerslev, T. (1986), “Generalized Autpregreesive Conditional Heteroscedasticity”, Journal of Econometrics, 31, pp..307-327
  • Diebold FX. (1986), Modeling the persistence of conditional variances: A comment. Econometric Reviews 5, pp.51-56.
  • Diebold, F. X. (1988). “Empirical Modeling of Exchange Rate Dynamics”Lecture Notes in Economics and Mathematical Systems, vol. 303, Springer-Verlag, New York
  • Dunis, C. L., Jason L. ve Stephane C. (2000), “The Use of Market Data and Model Combination to Improve Forecast Accuracy” Working Paper Liverpool Business School.
  • Enders, W. (2004); Applied Econometric Time Series, 2. Edition, John Willey and Sons, New York
  • Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation” Econometrica Vol. 50, No. 4. pp. 987-1007.
  • Engle, R. F. (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics” The Journal of Economic Perspectives, Vol. 15, No. 4. pp. 157-168.)
  • Engle, R. F.(1993), “Statistical models for financial volatility”, Financial Analyst Journal, 49(1), pp.72-78
  • Engle, R. F. and Bollerslev, T. (1986), "Modelling the Persistence of Conditional Variances," Econometrics Review, 5. pp.1-50.
  • Fernandez, V.; (2005), “Structural Breakpoints in Volatility in International Markets”, The Institute for International Integration Studies Discussion Paper Series , No: 76 pp.1-36
  • Fong, W. M. (1998), “The Dynamics of DM=£ Exchange Rate Volatility: A SWARCH Analysis” International Journal of Finance and Economics (3) pp. 59-71
  • Franses, P. H. and McAleer M. (2002) “Financial Volatility: An Introduction” Journal of Applied Econometrics 17: pp.419-424
  • Güloğlu, B. ve Akman A. (2007), “Türkiye’de Döviz Kuru Oynaklığının SWARCH Yöntemi ile Analizi”, Finans Politik & Ekonomik Yorumlar, Cilt: 44 Sayı:512, ss. 43-51
  • Hendry, D. F.(1986), “An excursion into conditional variance land”. Econometric Reviews, 5, 1986, pp. 63-69.
  • Hsieh, D. A. (1989), “Modeling Heteroscedasticity in Daily Foreign-Exchange Rates” American Statistical Association Journal of Business & Economic Statistics, Vol. 7, No. 3, pp.307-317.
  • Inclan C.; Tiao G. C. (1994), “Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance”, Journal of the American Statistical Association, Vol. 89, No. 427., pp. 913-923.
  • Jorion, P. (1995), “Predicting Volatility in the Foreign Exchange Market”, Journal of Finance 50:2, pp. 507-528
  • Lamoureux, C. G. ve Lastrapes W. D. (1990), “Persistence in Variance, Structural Change, and the GARCH Model”, Journal of Business & Economic Statistics, Vol. 8, No. 2., pp. 225-234.
  • Malik, F. (2003), “Sudden Changes .In Variance And Volatility Persistence İn Foreign Exchange Markets”, Journal. of Multinational. Financial. Management 13 pp.217-230
  • Malik, F. and Hassan, S. A.(2004), “Modeling Volatility in Sector Index Returns with GARCH Models Using an Iterated Algorithm”, Journal of Economics and Finance, Volume 28, Number 2 / June, 2004, pp. 211-225
  • Mandelbrot, B. (1963), “The Variation of Certain Speculative Prices”, The Journal of Business, Vol. 36, No. 4. , pp. 394-419
  • Nelson, D. B. (1991) “Conditional Heteroskedasticity on Asset Retuns: A New Approach”, Econometrica, 59(2), pp. 347-370
  • Pagan, A. R. Ve Schwart G. W. (1989), “Altenative Models for Conditional Stock Volatility”, National Bureau of Economic Research (NBER) Working Paper Series, 2 955
  • Poon, S.-H. ve Granger C. W. J. (2003), “Forecasting Volatility in Financial Markets: A Review”, Journal of Economic Literature, Vol. 41, No. 2. pp. 478-539.
  • Pooter, M. ve Dijk D. (2004), “Testing for Changes in Volatility in Heteroskedastic Time Series- A Further Examination”, Econometric Institute Report EI 2004-38, pp. 1-39
  • Rapach, D. E., Strauss J. K. , Wohar M. E. (2007), “Forecasting Stock Return Volatility in the Presence of Structural Breaks”, Forecasting in the Presence of Structural Breaks and Model Uncertainty (Book Article), pp. 1-38
  • Rapach, D. E. and Strauss J. K.(2008), “Structural Breaks and GARCH Models of Exchange Rate Volatility”, Journal of Applied Econometrics,(23), pp.65-90
  • Tong, F. ve X. Zhou (2007), “The Structural Shifts in the Volatility of China’s Stock
  • Market and Important Events”, Asian Social Science, Vol. 3, No. 1, pp.19-23
  • Wang, P. ve T. Moore (2009), “Sudden changes in volatility: The case of five central European stock markets”, International Financial. Markets, Institutions. and Money, 19 pp. 33–46
  • Yalçın, Y. “Stokastik Oynaklık Modeli İle İMKB’de Kaldıraç Etkisinin İncelenmesi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22, 2007, ss.357-365
There are 33 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Dr. Sevda Gürsakal This is me

Publication Date September 1, 2011
Submission Date December 29, 2013
Published in Issue Year 2011 Volume: 20 Issue: 3

Cite

APA Gürsakal, D. S. (2011). GARCH MODELLERİ VE VARYANS KIRILMASI: İMKB ÖRNEĞİ. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(3), 161-178.