İMKB 100 ENDEKSİ GÜNLÜK GETİRİLERİ İÇİN UYGUN GENELLEŞTİRİLMİŞ FARKLI VARYANS MODELİNİN SEÇİMİ

Aziz Kutlar; Pınar Torun

İMKB 100 ENDEKSİ GÜNLÜK GETİRİLERİ İÇİN UYGUN GENELLEŞTİRİLMİŞ FARKLI VARYANS MODELİNİN SEÇİMİ

Year 2013, Issue: 42, 1 - 24, 18.05.2015

Abstract

Bu çalışmanın amacı, 01.11.2002-08.08.2012 dönemindeki günlük getiri değerleri kullanılarak İMKB Ulusal 100 Endeksi için en uygun farklı varyans modelinden hareketle risk ile getiri arasındaki nedensellik ilişkisinin araştırılmasıdır.

Çalışma iki kısımdan oluşmaktadır. İlk kısımda simetrik ve asimetrik GARCH modelleri kullanılarak İMKB Ulusal 100 Endeksi için en uygun farklı varyans modelinin TGARCH (1,1) modeli olduğu belirlenmiş, ikinci kısımda TGARCH (1,1) modelinden elde edilen varyans değerleri risk değişkeni olarak kabul edilerek, getiri ile risk arasındaki nedensellik ilişkisi araştırılmıştır. Çalışmada kötü haberlerin dalgalanma üzerinde daha fazla etkili olduğu ve getirinin riskin nedeni olduğu bulgusuna ulaşılmıştır.

Keywords

Risk, Getiri, Değişen Varyans, Granger Nedenselliği

References

AKAR, Cüneyt; (2007), “Volatilite Modellerinin Öngürü Performansları: ARCH, GARCH ve SWARCH Karşılaştırması”, Dokuz Eylül Üniver- sitesi İşletme Fakültesi Dergisi, 8, ss.201-217.
AKGÜN, Işıl ve Hülya SAYYAN; (2007),“İMKB 30 Hisse Senedi Getirilerin- de Volatilitenin Kısa ve Uzun Hafızalı Asimetrik ve Koşullu Değişen Varyans Modelleri İle Öngörüsü”, İktisat İşletme ve Finans Dergisi, 22, ss.127-141.
ATAKAN, Tülin; (2009),“İstanbul Menkul Kıymetler Borsası’nda Değişkenli- ğin (Volatilitenin) ARCH-GARCH Yöntemleri İle Modellenmesi” Yö- netim Dergisi, 62, ss.48-61.
BHABRA, Gurmeet S.; Maria L. GOZALEZ; Miyeong S. KİM and John G. POWEL; (2001), “Volatility Prediction During Prolonged Crises: Evi- dence From Korean Index Option” Pacific-Basın Finance Journal, 214, pp.147-164.
BROOKS, Chris; (2002), Introductory Econometrics for Finance, Cambrid- ge: Cambridge University Press.
BİLDİRİCİ, Melike; Sadiye OKTAY ve Elçin AYKAÇ; (2007), “İMKB’de Getiri Değişkenliğinin Hesaplanmasında ARCH/GARCH Ailesi Model- lerinin Kullanılması”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24-25 http://web.inonu.edu.tr/~eisemp8/ bildiri -pdf/ bildirici-oktay-aykac.pdf, Erişim Tarihi: 02.09.2012.
BOLLERSLEV, Tim; (1986),“Generalized Autoregressive Conditional Hete- roscedasticitiy” Journal of Econometrics, 31, pp. 307-327.
ÇAĞIL, Gülcan ve Mustafa OKUR; (2010), “2008 Küresel Krizi’nin İMKB Hisse Senedi Piyasası Üzerindeki Etkilerinin GARCH Modelleri İle Analizi”, Marmara Üniversitesi İ.İ.B.F. Dergisi, XXVIII, ss.573-585.
DOĞANAY, Mete M.; (2003),“İMKB DİBS Fiyat Endekslerinin Volatilite ve Kovaryanslarının Öngörülmesi”, İMKB Dergisi, 27, ss.17-37.
DURAN, Serap ve Asuman ŞAHİN; (2006),“İMKB Hizmetler, Mali, Sınai ve Teknoloji Endeksleri Arasındaki İlişkinin Belirlenmesi”, Gaziosman- paşa Üniversitesi Sosyal Bilimler Araştırmaları Dergisi,1, ss.57-70.
EL AAL, Moustafa Ahmed Abd; (2011), “Modelling and Forecasting Time Varying Stock Return Volatility In The Egyptian Stock Mar- ket”,International Research Journal of Finance and Economics,78, pp.96-113.
ENGLE, Robert F.; (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation” Econo- metrica, 50, pp. 987-1007.
ENGLE, Robert F.; Davis M. LILIEN and Robins P. RUSSEL.; (1987),“Estimating Time Varying Risk Premia in The Term Structure: The ARCH-M Model”, Econometrica,55, pp.391-407.
ENGLE, F. Robert and Victor K. NG; (1993) “Measuring and Testing the Impact of News on Volatility”, The Journal of Finance, 48, pp.1022-1082.
GLOSTEN, Lawrance R.; Ravi JAGANATHAN and E. David RUNKLE; (1993),“On The Relation Between The Expected Value and The Volati- lity of The Nominal Excess Return On Stocks,” The Journal of Finan- ce ,48, pp.1779-1801.
GRANGER, Clive W. J.; (1988) “Some Recent Development in A Concept of Causality”, Journal of Econometrics,39, pp.199-211.
GÜRİŞ, Selahattin ve İrem SAÇILDI SAÇAKLI; (2011),“İstanbul Menkul Kıymetler Borsası’nda Hisse Senedi Getiri Volatilitesinin Klasik ve Ba- yesyen GARCH Modelleri İle Analizi, Trakya Üniversitesi Sosyal Bi- limler Dergisi,13, ss.153-172
GÜNDEM, Fırat ve Tunç RAMAZAN; (2011), “ Finansal Liberalizasyon Poli- tikaları ve Küresel Finansal Krizin Türkiye Üzerine Etkileri: S&P 500 ve İMKB Üzerine Bir Analiz”, Turgut Özal Uluslararası Ekonomi ve Siyaset Kongresi E Kitabı, Malatya: İnönü Üniversitesi, ss.1325-1355, İnternet Adresi: http://web.inonu.edu.tr/~ozal.congress/pdf/77.pdf, Eri- şim Tarihi: 03.09.2012.
KUTLAR, Aziz and Ekrem DÖNEK; (2001),“Selecting the Appropriate Gene- ralized Conditional Heteroscedastic Model for the Daily IMKB Index Returns”, AFA 2001 New Orleans Meetings, Working Paper, pp.1-12, Internet Address: http://papers. ssrn.com/sol3/ papers.cfm? abstract_ id=255595, Date of Access: 02.09.2012.
LEEVES, Gareth; (2007), “Asimetric Volatility Of Stock Returns During The Asian Crisis: Evidence From Indonesia”, International Review Of Economics And Finance, 16, pp.272-286.
MAZIBAŞ, Murat; (2005),“İMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi: Asimetrik GARCH Modelleri ile Bir Uygulama”, VII. Ulusal Ekonometri ve İstatistik Sempozyumu, İstanbul: İstanbul Üni- versitesi, http://www.ekonometridernegi.org/, Erişim Tarihi:01.09.2012. Mayıs, ss.1-29, İnternet Adresi:
MCMILLIAN, David; Alan SPEIGHT and Owaın APGWILYM; (2000),” Fore- casting UK Stock Market Volatility”, Applied Financial Economics, 10, pp.435-488.
NAS, Tevfik F. and Mark J. PERRY; (2000), “Inflation, Inflation Uncertainty and Money Policy in Turkey:1960-1982”, Contemporary Economic Policy,18, pp. 170-180.
NELSON, B. Daniel; (1991),“Conditional Heteroscedasticitiy in Asset Return: A New Approach”, Econnometrica, 59, pp. 347-370.
OU, Phich H. and Hengshan WANG; (2011), “Modeling and Forecasting Stock Market Volatility by Gaussian Processes based on GARCH, EGARCH and GJR Models”, Proceedings of the World Congress on Enginee- ring, London: International Association of Engineers, July 6-8, Internet Address: pp338-342.pdf, Date of Access: 03.09.2012.
PAN, Hongyu and Zhıchao ZHANG; (2006), “ Forecasting Financial Volatility: Evidence From Chinese Stock Market”, Working Paper In Economics and Finance, No:06/02, pp. 1-29.
PARVARESH, Mehdi and Morteza BAVAGHAR; (2012),”Forecasting Volati- lity in Tehran Stock Market with GARCH Models”, Journal of Basic and Applied Scientific Research, 2(1), pp. 150-155.
PETERS, Jean-Philippe ; (2001),” Estimating And Forecasting Volatility of Stock Indices Using Asymmetric GARCH Models And (Skewed) Stu- dent-t Densities”, Internet Address: http:// www. unalmed. edu.co/~ ndgirald/ Archivos% 20Lectura/ Archivos%20curso%20Series%20II/ jppeters.pdf, Date of Access: 04.09.2012.
SEVÜKTEKİN, Mustafa ve Mehmet NARGELEÇEKENLER; (2008), “ İstan- bul Menkul Kıymetler Borsası’nda Getiri Volatilitesinin Modellenmesi ve Önraporlanması”, Ankara Üniversitesi SBF Dergisi, 61, ss. 243- 265.
SIOUROUNIS, Gregorios D.; (2002), “Modelling Volatility and Testing for Efficiency in Emerging Capital Markets: The Case of The Athens Stock Exchange”, Applied Financial Economics,12, pp.47-55.
TCMB; (2012), ”İstatistiki Veriler”, İnternet Adresi: http://evds.tcmb.gov.tr/ cbt.html, Erişim Tarihi:10.08.2012.
TSAY, S. Ruey; (2002), Analysis of Financial Time Series, New York: John Wiley & Sons, Inc.
TURANLI, Münevver; Ünal H. ÖZDEN ve Gökhan VURAL; (2007),“2002– 2006 Döneminde İMKB Getiri Volatilitesinin Ekonometrik Analizi”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24-25 Mayıs, Malatya: İnönü Üniversitesi, ss. 1-10, İnternet Adresi: http: //web. inonu. edu. tr/~eisemp8 /bildiri-pdf/turanl%FD-ozden-vural.pdf, Erişim Tarihi: 01.09.2012
ZOKAIAN, Jean-Michel; (1994),“Threshold Heteroscedastic Models”, Journal Of Economic and Dynamic Control,18, pp. 931-55.

-

Year 2013, Issue: 42, 1 - 24, 18.05.2015

Aziz Kutlar Pınar Torun

Abstract

The objective of this study is to determine the causality relationship between the variables of revenue and uncertainty by using the most appropriate variance model for ISE National 100 Index with the data from 01.Nov.2002 to 08.Aug.2012

Keywords

Risk, Returns, Heterocadasticity, Granger Causality

References

AKAR, Cüneyt; (2007), “Volatilite Modellerinin Öngürü Performansları: ARCH, GARCH ve SWARCH Karşılaştırması”, Dokuz Eylül Üniver- sitesi İşletme Fakültesi Dergisi, 8, ss.201-217.
AKGÜN, Işıl ve Hülya SAYYAN; (2007),“İMKB 30 Hisse Senedi Getirilerin- de Volatilitenin Kısa ve Uzun Hafızalı Asimetrik ve Koşullu Değişen Varyans Modelleri İle Öngörüsü”, İktisat İşletme ve Finans Dergisi, 22, ss.127-141.
ATAKAN, Tülin; (2009),“İstanbul Menkul Kıymetler Borsası’nda Değişkenli- ğin (Volatilitenin) ARCH-GARCH Yöntemleri İle Modellenmesi” Yö- netim Dergisi, 62, ss.48-61.
BHABRA, Gurmeet S.; Maria L. GOZALEZ; Miyeong S. KİM and John G. POWEL; (2001), “Volatility Prediction During Prolonged Crises: Evi- dence From Korean Index Option” Pacific-Basın Finance Journal, 214, pp.147-164.
BROOKS, Chris; (2002), Introductory Econometrics for Finance, Cambrid- ge: Cambridge University Press.
BİLDİRİCİ, Melike; Sadiye OKTAY ve Elçin AYKAÇ; (2007), “İMKB’de Getiri Değişkenliğinin Hesaplanmasında ARCH/GARCH Ailesi Model- lerinin Kullanılması”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24-25 http://web.inonu.edu.tr/~eisemp8/ bildiri -pdf/ bildirici-oktay-aykac.pdf, Erişim Tarihi: 02.09.2012.
BOLLERSLEV, Tim; (1986),“Generalized Autoregressive Conditional Hete- roscedasticitiy” Journal of Econometrics, 31, pp. 307-327.
ÇAĞIL, Gülcan ve Mustafa OKUR; (2010), “2008 Küresel Krizi’nin İMKB Hisse Senedi Piyasası Üzerindeki Etkilerinin GARCH Modelleri İle Analizi”, Marmara Üniversitesi İ.İ.B.F. Dergisi, XXVIII, ss.573-585.
DOĞANAY, Mete M.; (2003),“İMKB DİBS Fiyat Endekslerinin Volatilite ve Kovaryanslarının Öngörülmesi”, İMKB Dergisi, 27, ss.17-37.
DURAN, Serap ve Asuman ŞAHİN; (2006),“İMKB Hizmetler, Mali, Sınai ve Teknoloji Endeksleri Arasındaki İlişkinin Belirlenmesi”, Gaziosman- paşa Üniversitesi Sosyal Bilimler Araştırmaları Dergisi,1, ss.57-70.
EL AAL, Moustafa Ahmed Abd; (2011), “Modelling and Forecasting Time Varying Stock Return Volatility In The Egyptian Stock Mar- ket”,International Research Journal of Finance and Economics,78, pp.96-113.
ENGLE, Robert F.; (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation” Econo- metrica, 50, pp. 987-1007.
ENGLE, Robert F.; Davis M. LILIEN and Robins P. RUSSEL.; (1987),“Estimating Time Varying Risk Premia in The Term Structure: The ARCH-M Model”, Econometrica,55, pp.391-407.
ENGLE, F. Robert and Victor K. NG; (1993) “Measuring and Testing the Impact of News on Volatility”, The Journal of Finance, 48, pp.1022-1082.
GLOSTEN, Lawrance R.; Ravi JAGANATHAN and E. David RUNKLE; (1993),“On The Relation Between The Expected Value and The Volati- lity of The Nominal Excess Return On Stocks,” The Journal of Finan- ce ,48, pp.1779-1801.
GRANGER, Clive W. J.; (1988) “Some Recent Development in A Concept of Causality”, Journal of Econometrics,39, pp.199-211.
GÜRİŞ, Selahattin ve İrem SAÇILDI SAÇAKLI; (2011),“İstanbul Menkul Kıymetler Borsası’nda Hisse Senedi Getiri Volatilitesinin Klasik ve Ba- yesyen GARCH Modelleri İle Analizi, Trakya Üniversitesi Sosyal Bi- limler Dergisi,13, ss.153-172
GÜNDEM, Fırat ve Tunç RAMAZAN; (2011), “ Finansal Liberalizasyon Poli- tikaları ve Küresel Finansal Krizin Türkiye Üzerine Etkileri: S&P 500 ve İMKB Üzerine Bir Analiz”, Turgut Özal Uluslararası Ekonomi ve Siyaset Kongresi E Kitabı, Malatya: İnönü Üniversitesi, ss.1325-1355, İnternet Adresi: http://web.inonu.edu.tr/~ozal.congress/pdf/77.pdf, Eri- şim Tarihi: 03.09.2012.
KUTLAR, Aziz and Ekrem DÖNEK; (2001),“Selecting the Appropriate Gene- ralized Conditional Heteroscedastic Model for the Daily IMKB Index Returns”, AFA 2001 New Orleans Meetings, Working Paper, pp.1-12, Internet Address: http://papers. ssrn.com/sol3/ papers.cfm? abstract_ id=255595, Date of Access: 02.09.2012.
LEEVES, Gareth; (2007), “Asimetric Volatility Of Stock Returns During The Asian Crisis: Evidence From Indonesia”, International Review Of Economics And Finance, 16, pp.272-286.
MAZIBAŞ, Murat; (2005),“İMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi: Asimetrik GARCH Modelleri ile Bir Uygulama”, VII. Ulusal Ekonometri ve İstatistik Sempozyumu, İstanbul: İstanbul Üni- versitesi, http://www.ekonometridernegi.org/, Erişim Tarihi:01.09.2012. Mayıs, ss.1-29, İnternet Adresi:
MCMILLIAN, David; Alan SPEIGHT and Owaın APGWILYM; (2000),” Fore- casting UK Stock Market Volatility”, Applied Financial Economics, 10, pp.435-488.
NAS, Tevfik F. and Mark J. PERRY; (2000), “Inflation, Inflation Uncertainty and Money Policy in Turkey:1960-1982”, Contemporary Economic Policy,18, pp. 170-180.
NELSON, B. Daniel; (1991),“Conditional Heteroscedasticitiy in Asset Return: A New Approach”, Econnometrica, 59, pp. 347-370.
OU, Phich H. and Hengshan WANG; (2011), “Modeling and Forecasting Stock Market Volatility by Gaussian Processes based on GARCH, EGARCH and GJR Models”, Proceedings of the World Congress on Enginee- ring, London: International Association of Engineers, July 6-8, Internet Address: pp338-342.pdf, Date of Access: 03.09.2012.
PAN, Hongyu and Zhıchao ZHANG; (2006), “ Forecasting Financial Volatility: Evidence From Chinese Stock Market”, Working Paper In Economics and Finance, No:06/02, pp. 1-29.
PARVARESH, Mehdi and Morteza BAVAGHAR; (2012),”Forecasting Volati- lity in Tehran Stock Market with GARCH Models”, Journal of Basic and Applied Scientific Research, 2(1), pp. 150-155.
PETERS, Jean-Philippe ; (2001),” Estimating And Forecasting Volatility of Stock Indices Using Asymmetric GARCH Models And (Skewed) Stu- dent-t Densities”, Internet Address: http:// www. unalmed. edu.co/~ ndgirald/ Archivos% 20Lectura/ Archivos%20curso%20Series%20II/ jppeters.pdf, Date of Access: 04.09.2012.
SEVÜKTEKİN, Mustafa ve Mehmet NARGELEÇEKENLER; (2008), “ İstan- bul Menkul Kıymetler Borsası’nda Getiri Volatilitesinin Modellenmesi ve Önraporlanması”, Ankara Üniversitesi SBF Dergisi, 61, ss. 243- 265.
SIOUROUNIS, Gregorios D.; (2002), “Modelling Volatility and Testing for Efficiency in Emerging Capital Markets: The Case of The Athens Stock Exchange”, Applied Financial Economics,12, pp.47-55.
TCMB; (2012), ”İstatistiki Veriler”, İnternet Adresi: http://evds.tcmb.gov.tr/ cbt.html, Erişim Tarihi:10.08.2012.
TSAY, S. Ruey; (2002), Analysis of Financial Time Series, New York: John Wiley & Sons, Inc.
TURANLI, Münevver; Ünal H. ÖZDEN ve Gökhan VURAL; (2007),“2002– 2006 Döneminde İMKB Getiri Volatilitesinin Ekonometrik Analizi”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24-25 Mayıs, Malatya: İnönü Üniversitesi, ss. 1-10, İnternet Adresi: http: //web. inonu. edu. tr/~eisemp8 /bildiri-pdf/turanl%FD-ozden-vural.pdf, Erişim Tarihi: 01.09.2012
ZOKAIAN, Jean-Michel; (1994),“Threshold Heteroscedastic Models”, Journal Of Economic and Dynamic Control,18, pp. 931-55.

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Details

Primary Language	Turkish
Journal Section	Makaleler
Authors	Aziz Kutlar This is me Pınar Torun This is me
Publication Date	May 18, 2015
Published in Issue	Year 2013 Issue: 42

Cite

APA	Kutlar, A., & Torun, P. (2015). İMKB 100 ENDEKSİ GÜNLÜK GETİRİLERİ İÇİN UYGUN GENELLEŞTİRİLMİŞ FARKLI VARYANS MODELİNİN SEÇİMİ. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(42), 1-24.

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