KRİPTO PARA PİYASASINDA VOLATİL DAVRANIŞLARIN ASİMETRİK STOKASTİK VOLATİLİTE MODELİ İLE TESTİ

Year 2023, , 61 - 82, 24.03.2023

Magsud Gubadlı , Vedat Sarıkovanlık

https://doi.org/10.17130/ijmeb.1175863

Cited By: 1

Abstract

Bu çalışmada, kripto piyasasının önde gelen altı kripto para biriminin (Bitcoin, Stellar, Litecoin, Ethereum, Tether ve Ripple) volatil yapısı, asimetrik ilişki ve/ve ya kaldıraç etkisinin var olup olmadığı test edilmektedir. 09/11/2017-31/07/2022 dönemini kapsayan ve WinBUGS uygulaması ile yapılan bu çalışmada öncelikle logaritmik fark alınarak getiri serisi hesaplanmıştır. Bu kapsamda 100.000 tekrarla örneklem sınaması yapılmış olup katsayıların başlangıç eğiliminden çıkması için tahminlerin ilk 10.000 örneklemi dışlanarak kalan 90.000 örneklemle analiz gerçekleştirilmiştir. Asimetrik stokastik volatilite modeli tahmin sonuçlarına göre kripto para birimlerinin oynaklık kalıcılığı, oynaklığın öngörülebilirliği ve para birimlerinin kendi getirilerinin şoku ile oynaklıklarının etkisi arasındaki korelasyon düzeyi ilgili parametreler ile değerlendirilmiştir. Belirtilen zaman aralığında çalışmamızda kullanılan tüm kripto para birimleri için yoğun bir volatilite kümelenmesi olduğu gözlemlenmiştir. Bu volatilitenin sürekli olduğu ve düşük öngörülebilirliğin varlığı ampirik olarak asimetrik stokastik volatilite modeli ile elde edilen bulgular arasındadır. Ayrıca çalışmanın sonuçlarına göre Ethereum kripto para birimi dışındaki diğer beş para biriminin hiçbirinde ne kaldıraç etkisi ne de asimetrik ilişkisinin hiçbiri gözlemlenmemiştir.

Keywords

Kripto Para Birimi, Asimetrik Stokastik Oynaklık, Kaldıraç Etkisi, Oynaklığın Kalıcılığı

TEST OF VOLATILITY BEHAVIORS ON THE CRYPTO CURRENCY MARKET WITH THE ASYMMETRIC STOCHASTIC VOLATILITY MODEL

Abstract

In this study, the six major crypto currencies of the crypto market (Bitcoin, Stellar, Litecoin, Ethereum, Tether and Ripple) aims to test whether volatile structure, the asymmetric relationship and/or leverage effect exists. Our study covers the period of 09/11/2017-31/07/2022 and with WinBUGS application, the return series is calculated primarily by taking the logarithmic difference. In this context, samples were tested with 100,000 iterations and analysis was performed with the remaining 90,000 samples, excluding the first 10,000 samples of the estimates, in order for the coefficients to come out of the initial trend. According to the asymmetric effect model estimation results, the volatility persistence of cryptocurrencies, volatility predictability, and the correlation between the shock of the currencies' own returns and the effect and the shock effects of their volatility were evaluated. When we consider cryptocurrencies as a whole throughout the study, there is an intense volatility clustering for all cryptocurrencies used in our study, this volatility is continuous and the presence of low predictability is among the findings with the empirically asymmetric stochastic volatility model. In addition, according to the results of the study, neither leverage effect nor asymmetric effect relationship was observed in any of the other five currencies except Ethereum cryptocurrency.

Keywords

Cryptocurrency, Asymetric Stochastic Volatility, Leverage Effect, Volatility Persistence

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