Finansal Varlık Fiyatlarındaki Yüksek Oranlı Ani Değişimlerin (Price Jumps) Etkilerinin Analizi: Türkiye Örneği

Year 2020, Volume: 5 Issue: 9, 253 - 282, 30.06.2020

Önder Büberkökü

Abstract

Bu çalışmada finansal varlık fiyatlarındaki yüksek oranlı ani değişimlerin (jump) stokastik volatilite (SV) ile GARCH modellerine dahil edilmesinin bu modellerin performansları üzerindeki etkisi incelenmiştir. Analizler BİST100, BİST Mali ve BİST Sınai endeksleri dikkate alınarak yapılmıştır. Modeller Bayesyen yöntemi ile tahmin edilmiş ve model performanslarının karşılaştırılmasında bir Bayes faktörü olarak Log-ML değerinden yararlanılmıştır. Çalışma bulguları Türk hisse senedi piyasalarındaki yüksek oranlı ani değişimlerin yılda yaklaşık 3 kez gerçekleştiğini, bu etkinin standart GARCH ve SV modellerine dahil edilmesinin model performanslarını arttırdığını, neredeyse her durumda SV modellerinin GARCH modellerinden daha iyi bir performans sergilediğini ve her durumda en iyi performansı sergileyen modelin yüksek oranlı ani değişimleri dikkate alan SV (SV with jumps) modeli olduğunu göstermektedir.

Keywords

Volatilite, Jump Faktörü, GARCH Modeli, Stokastik Volatilite Modeli, Hisse Senedi Piyasası

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