KRİPTO PARALARIN VOLATİLİTE DİNAMİKLERİNİN İNCELENMESİ: GARCH MODELLERİ ÜZERİNE BİR UYGULAMA

Abstract

Çalışmada 2008 küresel finansal krizden sonra ortaya çıkan ancak halen tam olarak para muamelesi görmeyen temel kripto paralar olan Bitcoin ve Ripple’ın getiri oranlarının volatilite özellikleri modellenmiştir. Uygulamalı analizde Bitcoin ve Ripple getiri oranları için geleneksel ARCH ve GARCH modelleri yanında asimetriyi de dikkate alan EGARCH ve TGARCH modelleri de tahmin edilmiştir. Alternatif modellerin öngörü performanslarına göre yapılan karşılaştırmada en başarılı olan model olarak asimetriyi dikkate alan TGARCH modeli bulunmuştur. Ayrıca en başarılı modelden elde edilen koşullu varyansların grafiği incelendiğinde volatilitenin yükseldiği dönemlerin kripto paraların fiyatlarında büyük oynaklıkların olduğu dönemlerle örtüştüğü gözlenmiştir. 

Keywords

• Kripto Paralar,Volatilite Modellemesi

INVESTIGATION OF VOLATILITY DYNAMICS OF CRYPTOCURRENCIES: AN APPLICATION ON GARCH MODELS

Abstract

In this study, the volatility characteristics of the return rates of Bitcoin and Ripple, which emerged after the 2008 global financial crisis and are not yet fully accepted as currency, are modeled. In the empirical modeling, we employed both traditional ARCH/GARCH models and EGARCH-TGARCH models which take asymmetry into consideration. We compare alternative models according to their forecast performance and asymmetric TGARCH model is found as the most successful model according to forecast performance criteria. Also, when we examine conditional variance obtained from the most successful model, we observe that higher volatility periods overlap with the periods of high price movements of the analyzed crypto currencies.

Keywords

• : Crypto Currencies,Volatility Modeling,ARCH/GARCH Models

References

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