BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ

Year 2019, Volume: 4 Issue: 4, 514 - 544, 31.12.2019

Doç. Dr Önder Büberkökü

https://doi.org/10.29106/fesa.645626

Cited By: 1

Abstract

Bu çalışmada BIST 30 endeksi
ile Dolar-TL kuru  üzerine yazılı
futures  kontratların sunduğu optimal hedge
rasyoları ve hedging etkinliği 
incelenmiştir. Çalışmada,  kapsamlı bir analiz sunulması amacıyla, hem
DBEKK, CCC-GARCH, DCC-GARCH, GOGARCH-ML ve GOGARCH-NLS modellerinden oluşan
dinamik hedging stratejilerine hem de OLS, VAR, ECM ile kısa ve uzun hafızalı
GARCH modellerine (GARCH, GJR-GARCH, FIGARCH, FIEGARCH) dayalı statik hedging
stratejilerine yer verilmiştir. En uygun modelin belirlenmesinde ise minumum
varyans yaklaşımı ile ortalama varyans yaklaşımına dayalı fayda fonksiyonundan
yararlanılmıştır.Çalışma bulguları, BIST30 endeksi için DBEKK modeli tarafından
sunulan optimal hedge rasyosunun; Dolar-TL kuru içinse GOGARCH-NLS modeli
tarafından sunulan optimal hedge rasyosunun hedging etkinliğinin daha iyi
olduğunu göstermektedir.

Keywords

Optimal hedge rasyosu, Futures kontratlar, Çok değişkenli GARCH modelleri

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