Ekonomik Bir Uygulama ile Kendinden Uyarımlı Eşiksel Değişen Varyanslı Otoregresif Model

Yıl 2012, Cilt: 2 Sayı: 1, 1 - 18, 01.03.2012

Ümran M. TEKŞEN Kahraman Aşır Genç

Öz

Bu çalışmada, eşiksel otoregresif (TAR) modeller sınıfından kendinden uyarımlı eşiksel otoregresif (SETAR) modelin yapısı üzerinde durulmuştur. Model parametrelerini belirlemek için Tsay (1989)’in önerdiği yöntem kullanılmıştır. Farklı rejimlerde ortalamanın yanı sıra varyansta da eşiksellik yapısı düşünülerek varyansın modellenmesine çalışılmıştır. Uygulama verisi olarak 03.01.2005-30.12.2011 dönemini kapsayan serbest piyasadaki günlük altın fiyatları serisi TL cinsinden alınarak bir model oluşturulmuştur

Anahtar Kelimeler

Kendinden Uyarımlı Eşiksel Otoregresif Model, Lineer Olmama

Kaynakça

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