VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ

Önder Büberkökü

doi:10.14784/marufacd.879194

VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ

Öz

Bu çalışmada Dolar-TL kurunun finansal riskinin yönetiminde kullanılacak modellerin performansı üzerinde volatilitedeki çoklu yapısal kırılmaların olası etkileri incelenmiştir. Finansal risk yönetim modelleri olarak volatilite öngörü (volatlity forecasting) modelleri ile piyasa riski ölçüm modelleri esas alınmıştır. Volatilitedeki çoklu yapısal kırılmaların tespitinde ICSS algoritması ile Bai ve Perron (1998, 2003) testinden yararlanılmıştır. Zamanla değişen volatilite değerleri ise FIGARCH modeli ile tahmin edilmiştir. Çalışma bulguları, Dolar-TL kurunun volatilitesinin çoklu yapısal kırılmalar içerdiği fakat bu yapısal kırılmaların dikkate alınmasının risk yönetim modellerinin performansını artırmadığı sonucuna işaret etmektedir.

Anahtar Kelimeler

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Details

Primary Language

Turkish

Subjects

-

Journal Section

Research Article

Authors

Önder Büberkökü
Türkiye

Publication Date

January 31, 2021

Submission Date

March 26, 2020

Acceptance Date

September 4, 2020

Published in Issue

Year 2021 Volume: 13 Number: 24

DOI

https://doi.org/10.14784/marufacd.879194

IZ

https://izlik.org/JA38NY85AS

Cite

RIS / Bibtex

APA

Büberkökü, Ö. (2021). VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(24), 86-110. https://doi.org/10.14784/marufacd.879194

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