VOLATILITY DYNAMICS AND SPILLOVERS IN BIST SECTOR INDICES: A GARCH (1,1) AND FOURIER VARIANCE CAUSALITY APPROACH

Abstract

This study investigates the dynamic structure of volatility and sectoral spilo among Borsa Istanbul sector indices using both conventional and advanced econometric methods. Utilizing daily closing data from 2018 to 2024, the analysis first applies the Generalized Autoregressive Conditional Heteroscedasticity GARCH (1,1) model to reveal the volatility characteristics of sector indices. In the subsequent stage, the Fourier causality-in-variance test is employed to examine the direction and magnitude of volatility spillovers between indices from a frequency-domain perspective. The findings indicate that volatility transmission in the Turkish market is predominantly asymmetric and directional, with shocks in the technology and financial sectors quickly propagating to the industrial and services indices, while certain sector pairs display mutual and strong interdependence. The Fourier approach demonstrates that volatility spillovers do not occur merely in specific time windows, but persist across both short-term shocks and long-term economic cycles.

Keywords

• Borsa Istanbul
• Volatility
• GARCH
• Fourier causality in variance

BİST SEKTÖR ENDEKSLERİNDE VOLATİLİTE DİNAMİKLERİ VE YAYILIMI: GARCH (1,1) VE FOURİER VARYANSTA NEDENSELLİK YAKLAŞIMI

Abstract

Bu çalışma, Borsa İstanbul sektör endekslerinde volatilitenin dinamik yapısını ve sektörler arası yayılımı hem geleneksel hem de modern ekonometrik yaklaşımlarla incelemektedir. Çalışmada, 2018-2024 dönemine ait günlük kapanış verileri kullanılarak, ilk aşamada Genelleştirilmiş Otoregresif Koşullu Değişen Varyans GARCH (1,1) modeli ile sektör endekslerinin volatilite yapısı ortaya konmuştur. Sonraki aşamada ise Fourier varyansta nedensellik testi ile endeksler arası volatilite aktarımının yönü ve şiddeti frekans-temelli olarak analiz edilmiştir. Elde edilen bulgular, Türkiye piyasasında volatilite aktarımının çoğunlukla asimetrik ve yönlü olduğunu, teknoloji ve mali sektörlerdeki şokların sanayi ve hizmetler endekslerine kısa sürede yayıldığını, bazı sektör çiftlerinde ise karşılıklı ve güçlü etkileşimlerin bulunduğunu göstermektedir. Fourier yaklaşımı, sektörler arası volatilite transferinin yalnızca belirli zaman aralıklarında değil hem kısa vadeli ani şoklar hem de uzun vadeli ekonomik döngüler boyunca gerçekleştiğini ortaya koymuştur.

Keywords

• Borsa İstanbul
• Volatilite
• GARCH
• Fourier varyansta nedensellik

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