THE EFFECT OF VOLATILITY IN THE BORSA ISTANBUL CORPORATE GOVERNANCE INDEX (XKURY): AN EXAMINATION WITH THE ARCH, GARCH AND SWARCH MODELS

Year 2017, Volume: 22 Issue: 3, 697 - 711, 30.07.2017

Şeyma Çalışkan Çavdar Alev Dilek Aydın

Abstract

This paper aims to examine the volatility of Borsa Istanbul Corporate Governance Index (XKURY) by means of ARCH, GARCH and SWARCH models and by using the daily closing values of the index between 03.03.2014 and 10.03.2017. Volatility is considered as one of the most important measures of risk in the financial markets and measuring volatility has been one of the most attractive areas of research for the researchers. Our main goal in this research is to determine whether XKURY is influenced from any kind of movements or from any assymmetric information due to an increase in volatility. Therefore, this study evaluates the risk of XKURY for the determined time period. Our empirical findings indicate that the SWARCH models perform better in forecasting the volatility than the ARCH and GARCH models. The researchers therefore can employ the SWARCH models as an alternative to the ARCH and GARCH models when conducting studies.

Keywords

ARCH, GARCH, Volatility, SWARCH

BORSA ISTANBUL KURUMSAL YÖNETİM ENDEKSİ'NDE (XKURY) VOLATİLİTENİN ETKİSİ: ARCH, GARCH ve SWARCH MODELLERİ İLE BİR İNCELEME

Abstract

Bu çalışma Borsa İstanbul Kurumsal Yönetim Endeksi'nin (XKURY) volatilitesini ARCH, GARCH ve SWARCH modelleri yardımıyla ve endeksin 03.03.2014 ile 10.03.2017 arasındaki günlük kapanış verilerini kullanarak incelemeyi amaçlamaktadır. Finansal piyasalarda volatilite yani oynaklık en önemli risk ölçüm aracı olarak görülmekte ve volatilitenin ölçümü de araştırmacılar arasında giderek daha fazla ilgi çeken bir araştırma konusu haline gelmektedir. Bu çalışmadaki ana amacımız herhangi bir hareketlenmeden veya asimetrik bilgiden dolayı volatilitenin artmasından ötürü XKURY'nin bu durumdan etkilenip etkilenmediğini belirlemektir. Dolayısıyla bu çalışma Borsa İstanbul Kurumsal Yönetim Endeksi'nin (XKURY) riskini belirlenen dönem için ölçmektedir. Ampirik bulgularımız bize SWARCH modellerinin ARCH ve GARCH modellerine göre volatiliteyi ölçmede daha başarılı bir performans sergilediğini göstermektedir. Dolayısıyla, araştırmacılar çalışma yaparken ARCH ve GARCH modellerine alternatif olarak SWARCH modellerini de kullanabilirler.

Keywords

ARCH, GARCH, Volatilite, SWARCH

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