İMKB Hizmetler, Mali, Sınai ve Teknoloji Endeksleri Arasındaki İlişkinin Belirlenmesi

Year 2006, Volume: 1 Issue: 1, 57 - 69, 01.01.2006

Serap Duran Asuman Şahin

Abstract

Bu çalışmada, IMKB sınai, mali, hizmetler ve teknoloji endeksleri arasında volatilite etkileşiminin varlığı ve yönü Temmuz 2000’den Nisan 2004 dönemine kadar olan günlük veriler kullanılarak araştırılmıştır. Endekslerin volatiliteleri EGARCH modeliyle elde edilmiş ve EGARCH’dan elde edilen koşullu varyanslar volatilite yerine kullanılmıştır. Endeksler arasındaki ilişkinin test edilmesinde sınırlandırılmamış VAR modeli kullanılmıştır. VAR modelinden elde edilen sonuçlara göre endeksler arasında anlamlı bir volatilite etkileşiminin olduğu görülmüştür

Keywords

EGARCH, VAR, Volatilite, IMKB Endeksleri

İMKB Hizmetler, Mali, Sınai ve Teknoloji Endeksleri Arasındaki İlişkinin Belirlenmesi

Abstract

In this study, the existence of volatility spillover and its direction between IMKB sevices, fınancıal, ındustrial and technology indexes was investigated based on daily data from July 2000 to April 2004. İndexes volatility obtained from Exponential Autoregressive Conditional Heteroskedasticity (EGARCH) model and, conditional variances obtained from EGARCH model were proxied for the volatilities. Vector Autoregressive (VAR) model was used to test volatility spillover among the indexes. According to results obtained from the VAR model, it was found that there exist volatility spillover between IMKB indexes

Keywords

EGARCH, VAR, Volatility, IMKB Indexes.

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