VOLATİLİTE MODELLERİNİN ÖNGÖRÜ PERFORMANSLARI: ARCH, GARCH VE SWARCH KARŞILAŞTIRMASI

Yıl 2007, Cilt: 8 Sayı: 2, 201 - 217, 01.06.2007

Cüneyt Akar

Öz

Bu çalışmada alternatif volatilite modellerinin öngörü performansları karşılaştırılmıştır. İstanbul Menkul Kıymetler Borsası İMKB100 endeksi haftalık kapanış verileri kullanılarak getiri volatilitesi ARCH, GARCH ve SWARCH yöntemleriyle tahmin edilmiş ve bu tahminlere dayalı olarak öngörüler yapılmıştır. Öngörü performansları gerçekleşen volatilite baz alınarak çeşitli hata istatistikleriyle değerlendirilmiştir. Çalışma sonuçları SWARCH modellerinin ARCH ve GARCH modellerine göre daha az ısrarcılığa sahip olduğunu göstermektedir. Elde edilen sonuçlar dinamik ve kayan pencere yaklaşımlarına göre yapılan öngörüler açısından SWARCH modellerinin daha iyi sonuçlar verdiğini ortaya koymaktadır.

Anahtar Kelimeler

Volatilite Modelleri, Öngörü Performansı, SWARCH

Kaynakça

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