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VARYANS KIRILMASI GÖZLEMLENEN SERİLERDE GARCH MODELLERİ: DÖVİZ KURU OYNAKLIĞI ÖRNEĞİ

Year 2009, Issue: 32, 319 - 337, 14.05.2015

Sevda Gürsakal

Abstract

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.  

Keywords

GARCH Varyans Kırılması ICSS Oynaklık

References

  • AGGARWAL, Reena; Inclan CARLA ve Leal RİCARDO; (1999), “Volatility
  • in Emerging Stock Markets”, The Journal of Financial and
  • Quantitative Analysis, 34(1), ss. 33-55.
  • ANDERSEN, Torben G. ve Tim BOLLERSLEV; (1998), “Deutsche Mark- Dollar Announcements, and Longer Run Dependencies”, The Journal of Finance, 53(1), ss.219-265. Activity Patterns, Macroeconomic
  • DİEBOLD, F. X.; (1988), “Empirical Modeling of Exchange Rate Dynamics” Lecture Notes in Economics and Mathematical Systems, 303. New York: Springer-Verlag
  • DUNİS, Chris L.; Jason LAWS ve Stephane CHAUVİN; (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, Robert F.; (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50(4), ss. 987-1007.
  • ENGLE, Robert F.; (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, The Journal of Economic Perspectives, (15)4, ss.157-168.
  • ENGLE, Robert F.; (1993), “Statistical Models for Financial Volatility”, Financial Analyst Journal, 49(1), ss.72-78
  • ENGLE, R. F., ve T. BOLLERSLEV; (1986), "Modelling the Persistence of Conditional Variances," Econometrics Review, 5. ss.1-50.
  • FERNANDEZ, V.; (2005), “Structural Breakpoints in Volatility in International Markets”, The Institute for International Integration Studies Discussion Paper Series , No: 76 ss.1-36
  • FONG, Wai Mun; (1998), “The Dynamics of DM=£ Exchange Rate Volatility: A SWARCH Analysis”, International Journal of Finance and Economics (3) ss. 59-71
  • FRANSES, Philip Hans ve McAleer MİCHAEL; (2002) “Financial Volatility: An Introduction”, Journal Of Applied Econometrics 17, ss.419-424
  • GÜLOĞLU, B. ve A. AKMAN; (2007), “Türkiye’de Döviz Kuru Oynaklığının SWARCH Yöntemi ile Analizi”, Finans Politik & Ekonomik Yorum- lar, 44(512), ss.43-51
  • HSİEH, David A.; (1989), “Modeling Heteroscedasticity in Daily Foreign- Exchange Rates”, American Statistical Association Journal of Business & Economic Statistics, 7(3).
  • INCLAN Carla ve George C. TİAO; (1994), “Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance”, Journal of the American Statistical Association, 89(427), ss.913-923.
  • JORİON, Phillip; (1995), “Predicting Volatility in the Foreign Exchange Mar- ket”, Journal of Finance, 50(2), ss.507-528
  • LAMOUREUX, Christopher G. ve William D. LASTRAPES; (1990), “Persistence in Variance, Structural Change, and the GARCH Model”, Journal of Business & Economic Statistics, 8(2), ss.225-234.
  • MALİK, Farooq; (2003), “Sudden Changes In Variance And Volatility Persistence In Foreign Exchange Markets”, Journal. of Multinational. Financial. Management, 13 ss.217-230.
  • MALİK, F. ve, S. A. HASSAN; (2004), “Modeling Volatility in Sector Index Returns with GARCH Models Using an Iterated Algorithm”, Journal of Economics and Finance, 28(2), June, ss.211-225.
  • MANDELBROT, Benoit; (1963), “The Variation of Certain Speculative Prices”, The Journal of Business, 36(4), ss.394-419.
  • MİKOSCH, T. ve A, C. ST˘ARİC˘; (2004) “Non-stationarities in Financial Ti- me Series, The Long-range Dependence and IGARCH Effects”, Review. of Economics and Statistics, 86, ss.378–390.
  • NELSON, Daniel B.; (1991) “Conditional Heteroskedasticity on Asset Returns: A New Approach”, Econometrica, 59(2), ss. 347-370.
  • PAGAN, Adrion R. ve SCHWART G. William; (1989), “Alternative Models for Conditional Stock Volatility”, National Bureau of Economic Research (NBER) Working Paper Series, 2 955
  • POON, Ser-Huang ve Clive W. J. GRANGER; (2003), “Forecasting Volatility in Financial Markets: A Review”, Journal of Economic Literature, 41(2), ss.478-539.
  • POOTER, M. ve D. DİJK; (2004), “Testing for Changes in Volatility in Heteroskedastic Time Series- A Further Examination”, Econometric Institute Report EI 2004-38, ss.1-39.
  • RAPACH, D. E.; J. K. STRAUSS ve 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), ss.1-38.
  • RAPACH, D. E. ve J. K. STRAUSS;(2008), “Structural Breaks and GARCH Models of Exchange Rate Volatility”, Journal of Applied Econometrics,(23), ss.65-90.
  • YALÇIN,Y.; (2006), İnternet Adresi:www.finansbilim.com/ufs2006/Makaleler/ Stokastıkoynaklık. Pdf

Year 2009, Issue: 32, 319 - 337, 14.05.2015

Sevda Gürsakal

Abstract

References

  • AGGARWAL, Reena; Inclan CARLA ve Leal RİCARDO; (1999), “Volatility
  • in Emerging Stock Markets”, The Journal of Financial and
  • Quantitative Analysis, 34(1), ss. 33-55.
  • ANDERSEN, Torben G. ve Tim BOLLERSLEV; (1998), “Deutsche Mark- Dollar Announcements, and Longer Run Dependencies”, The Journal of Finance, 53(1), ss.219-265. Activity Patterns, Macroeconomic
  • DİEBOLD, F. X.; (1988), “Empirical Modeling of Exchange Rate Dynamics” Lecture Notes in Economics and Mathematical Systems, 303. New York: Springer-Verlag
  • DUNİS, Chris L.; Jason LAWS ve Stephane CHAUVİN; (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, Robert F.; (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50(4), ss. 987-1007.
  • ENGLE, Robert F.; (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, The Journal of Economic Perspectives, (15)4, ss.157-168.
  • ENGLE, Robert F.; (1993), “Statistical Models for Financial Volatility”, Financial Analyst Journal, 49(1), ss.72-78
  • ENGLE, R. F., ve T. BOLLERSLEV; (1986), "Modelling the Persistence of Conditional Variances," Econometrics Review, 5. ss.1-50.
  • FERNANDEZ, V.; (2005), “Structural Breakpoints in Volatility in International Markets”, The Institute for International Integration Studies Discussion Paper Series , No: 76 ss.1-36
  • FONG, Wai Mun; (1998), “The Dynamics of DM=£ Exchange Rate Volatility: A SWARCH Analysis”, International Journal of Finance and Economics (3) ss. 59-71
  • FRANSES, Philip Hans ve McAleer MİCHAEL; (2002) “Financial Volatility: An Introduction”, Journal Of Applied Econometrics 17, ss.419-424
  • GÜLOĞLU, B. ve A. AKMAN; (2007), “Türkiye’de Döviz Kuru Oynaklığının SWARCH Yöntemi ile Analizi”, Finans Politik & Ekonomik Yorum- lar, 44(512), ss.43-51
  • HSİEH, David A.; (1989), “Modeling Heteroscedasticity in Daily Foreign- Exchange Rates”, American Statistical Association Journal of Business & Economic Statistics, 7(3).
  • INCLAN Carla ve George C. TİAO; (1994), “Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance”, Journal of the American Statistical Association, 89(427), ss.913-923.
  • JORİON, Phillip; (1995), “Predicting Volatility in the Foreign Exchange Mar- ket”, Journal of Finance, 50(2), ss.507-528
  • LAMOUREUX, Christopher G. ve William D. LASTRAPES; (1990), “Persistence in Variance, Structural Change, and the GARCH Model”, Journal of Business & Economic Statistics, 8(2), ss.225-234.
  • MALİK, Farooq; (2003), “Sudden Changes In Variance And Volatility Persistence In Foreign Exchange Markets”, Journal. of Multinational. Financial. Management, 13 ss.217-230.
  • MALİK, F. ve, S. A. HASSAN; (2004), “Modeling Volatility in Sector Index Returns with GARCH Models Using an Iterated Algorithm”, Journal of Economics and Finance, 28(2), June, ss.211-225.
  • MANDELBROT, Benoit; (1963), “The Variation of Certain Speculative Prices”, The Journal of Business, 36(4), ss.394-419.
  • MİKOSCH, T. ve A, C. ST˘ARİC˘; (2004) “Non-stationarities in Financial Ti- me Series, The Long-range Dependence and IGARCH Effects”, Review. of Economics and Statistics, 86, ss.378–390.
  • NELSON, Daniel B.; (1991) “Conditional Heteroskedasticity on Asset Returns: A New Approach”, Econometrica, 59(2), ss. 347-370.
  • PAGAN, Adrion R. ve SCHWART G. William; (1989), “Alternative Models for Conditional Stock Volatility”, National Bureau of Economic Research (NBER) Working Paper Series, 2 955
  • POON, Ser-Huang ve Clive W. J. GRANGER; (2003), “Forecasting Volatility in Financial Markets: A Review”, Journal of Economic Literature, 41(2), ss.478-539.
  • POOTER, M. ve D. DİJK; (2004), “Testing for Changes in Volatility in Heteroskedastic Time Series- A Further Examination”, Econometric Institute Report EI 2004-38, ss.1-39.
  • RAPACH, D. E.; J. K. STRAUSS ve 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), ss.1-38.
  • RAPACH, D. E. ve J. K. STRAUSS;(2008), “Structural Breaks and GARCH Models of Exchange Rate Volatility”, Journal of Applied Econometrics,(23), ss.65-90.
  • YALÇIN,Y.; (2006), İnternet Adresi:www.finansbilim.com/ufs2006/Makaleler/ Stokastıkoynaklık. Pdf
There are 30 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Sevda Gürsakal This is me

Publication Date May 14, 2015
Published in Issue Year 2009 Issue: 32

Cite

APA Gürsakal, S. (2015). VARYANS KIRILMASI GÖZLEMLENEN SERİLERDE GARCH MODELLERİ: DÖVİZ KURU OYNAKLIĞI ÖRNEĞİ. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(32), 319-337.

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