VARYANS KIRILMASI GÖZLEMLENEN SERİLERDE GARCH MODELLERİ: DÖVİZ KURU OYNAKLIĞI ÖRNEĞİ

Yıl 2009, Sayı: 32, 319 - 337, 14.05.2015

Sevda Gürsakal

Öz

Zaman serilerindeki oynaklığın ölçülmesinde GARCH modeli ve çeşitli varyasyonları oldukça faydalı olmuştur. Fakat serinin varyansında bir ya da daha fazla sayıda kırılma olduğunda bu modeller ile ölçülen oynaklığın olduğundan yüksek çıktığı bulunmuştur. Bu çalışmada döviz kuru 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 günlük dolar 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.  

Anahtar Kelimeler

GARCH, Varyans Kırılması, ICSS, Oynaklık

Kaynakça

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