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Yıl 2010, Cilt: 24 Sayı: 4, 217 - 228, 06.07.2011

Erhan Demireli

Öz

Bu çalışmada İstanbul Menkul Kıymetler Borsası (IMKB) endeks
getirileri, simetrik, asimetrik şartlı değişen varyans dahilinde uzun hafızaya
sahip GARCH, IGARCH, GJR-GARCH, APARCH, FIGARCH ve FIAPARCH
modelleriyle incelenmiştir. Kupiec-LR testi ile bir günlük Riske Maruz
Değer’lerin (RMD) doğruluğu normal dağılım, student-t dağılımı ve skewed
student-t dağılımı için incelenmiştir. ARCH modelleri menkul kıymetler
borsasındaki kaldıraç etkisini ve şartlı oynaklık altındaki kısmi entegrasyonun
varlığını kanıtlamaktadır. İMKB için FIAPARCH modeli, sözkonusu kaldıraç
etkisi ve şartlı oynaklık altındaki kısmi entegrasyon için en iyi sonucu
vermektedir. Ayrıca örneklem içi ve örneklem dışı RMD’ye dayanan KupiecLR
testi, FIAPARCH modelinin uygunluğunu kanıtlamaktadır. Sonuç olarak
student-t dağılımına sahip FIAPARCH modeli İMKB endeksine kaldıraç ve
uzun hafıza özellikleri bakımından etkin RMD değerlerinin bulunmasına olanak
vermektedir. Sözkonusu bulgular, finansal yöneticiler, yatırımcılar ve piyasa
düzenleyiciler açısından İMKB’de yol gösterici niteliktedir.

Anahtar Kelimeler

Riske Maruz Değer RMD Uzun Hafıza KupiecLR Testi FIAPARCH Modeli

Kaynakça

  • Angelıdıs T., Degıannakıs S. (2005) Modeling Risk For Long And Short Trading Positions, The Journal Of Risk Finance, 6 (3), 2005, 226-238
  • Ballıe, R.T., Bollerslev, T., Mıkkelsen, H.O., (1996) Fractionally İntegrated Generalized Autoregressive Conditional Heteroskedasticity, Journal Of Econometrics, 74, 3-30
  • Bhardwaj, G., Norman, R.S., (2006). An Empirical İnvestigation Of The Usefulness Of Arfıma Models For Predicting Macroeconomic And Financial Time Series. Journal Of Econometrics 131, 539–578.
  • Bollerslev T. (1986) Generalized Autoregressive Conditional Heteroskedasticity, Journal Of Econometrics, 31, 307-327
  • Chıu C. L., Chıang S.M.,, Hung J.C., Chen Y.L. (2006) Clearing Margin System In The Futures Markets—Applying The Value-At-Risk Model To Taiwanese Data, Physica A 367 353–374
  • Çifter A., Özün A. (2007) The Predictive Performance Of Asymmetric Normal Mixture Garch İn Risk Management: Evidence From Turkey, Munich Personal Repec Archive (Mpra), Paper No: 2489, November
  • Degıannakıs S. (2004) Volatility Forecasting: Evidence From A Fractional Integrated Asymmetric Power Arch Skewed-T Model, Applied Financial Economics, 14,1333-1342
  • Dıng, Z.C., W.J. Granger, R.F. Engle (1993), A Long Memory Property Of Stock Market Returns And A New Model, Journal Of Empirical Finance, 987-1007
  • Engle, R. F. (1982) Autoregressive Conditional Heteroskedasticity With Estimates Of The Variance Of United Kingdom Inflation, Econometrica, 50, 987-1007
  • Ewıng B. T., Malık F. (2005) Re-Examining The Asymmetric Predictability Of Conditional Variances: The Role Of Sudden Changes İn Variance, Journal Of Banking & Finance 29 2655–2673
  • Floros, C., Jaffry, S., Lima, G.V., (2007). Long Memory İn The Portuguese Stock Market, Studies İn Economics And Finance, 24, 220–232.
  • Glosten, L.R., Jaganattan,R., Runkle,D, (1993), On The Relation Between The Expected Value And The Volatility Of The Normal Excess Return On Stocks, Journal Of Finance, 48, 1779-1801
  • Huang Y. C., Lın B.J. (2004) Value-At-Risk Analysis For Taiwan Stock Index Futures: Fat Tails And Conditional Asymmetries İn Return Innovations, Review Of Quantitative Finance And Accounting, 22, 79–95
  • Kang, H.S., Yoon, S.M., (2007) Long Memory Properties İn Return And Volatility: Evidence From The Korean Stock Market, Physica A, 385, 591–600.
  • Kılıc, R., (2004) On The Long Memory Properties Of Emerging Capital Markets: Evidence From Istanbul Stock Exchange. Applied Financial Economics 14, 915–922.
  • Kupıec, P., (1995) Techniques For Verifying The Accuracy Of Risk Measurement Models, Journal Of Derivatives 2, 174-184
  • Lı, K., (2002) Long-Memory Versus Option-Implied Volatility Prediction. Journal Of Derivatives 9 (3), 9–25.
  • Longmore, R., Robınson, W. (2004), “Modelling And Forecasting Exchange Rate Dynamics İn Jamaica: An Application Of Asymmetric Volatility Models”, Bank Of Jamaica, 1-32.
  • Martens, M., Zeın, J., (2004) Predicting Financial Volatility: High Frequency Time-Series Forecasts Vis-À-Vis Implied Volatility. Journal Of Futures Markets 24 (11), 1005–1028.
  • Ñíguez T.M. (2003), Volatility And Var Forecasting For The Ibex–35 Stock- Return Index Using Fıgarch-Type Processes And Different Evaluation Criteria, Instituto Valenciano De Investigaciones Económicas, S.A, Primera Edición Septiembre Depósito Legal: V–4053–2003, 1-35
  • Pong, S., Shackleton, M.B., Taylor, S.J., Xu, X., (2004). Forecasting Sterling/Dollar Volatility: A Comparison Of Implied Volatilities And Ar(Fı)Ma Models. Journal Of Banking And Finance 28, 2541–2563.
  • So M. K.P., Yu P. L.H (2006), Empirical Analysis Of Garch Models İn Value At Risk Estimation, International Financial Markets, Institution And Money 16 180–197
  • Tang, T-L, Shıeh, S-J. (2006) Long Memory İn Stock Index Futures Markets: A Value-At-Risk Approach, Physica A, 306, 437-448.
  • Tse, Y. K. (1998) The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rate, Journal Of Applied Econometrics, 193, 49-55.
  • Tu A. H., Wong W. K., Chang M. C. (2008) Value-At-Risk For Long And Short Position Of Asian Stock Markets, International Research Journal Of Finance And Economics, Issn 1450 – 2887, Issue 22 134- 144
  • Vılasuso, J., (2002) Forecasting Exchange Rate Volatility. Economics Letters 76, 59–64.
  • Vougas, D.V., (2004) Analyzing Long Memory And Volatility Of Returns İn The Athens Stock Exchange, Applied Financial Economics, 14, 457– 460.
  • Wu P. T., Shıeh S.J. (2007) Value-At-Risk Analysis For Long-Term Interest Rate Futures: Fat-Tail And Long Memory İn Return Innovations, Journal Of Empirical Finance, 14, 248-259

Yıl 2010, Cilt: 24 Sayı: 4, 217 - 228, 06.07.2011

Erhan Demireli

Öz

Kaynakça

  • Angelıdıs T., Degıannakıs S. (2005) Modeling Risk For Long And Short Trading Positions, The Journal Of Risk Finance, 6 (3), 2005, 226-238
  • Ballıe, R.T., Bollerslev, T., Mıkkelsen, H.O., (1996) Fractionally İntegrated Generalized Autoregressive Conditional Heteroskedasticity, Journal Of Econometrics, 74, 3-30
  • Bhardwaj, G., Norman, R.S., (2006). An Empirical İnvestigation Of The Usefulness Of Arfıma Models For Predicting Macroeconomic And Financial Time Series. Journal Of Econometrics 131, 539–578.
  • Bollerslev T. (1986) Generalized Autoregressive Conditional Heteroskedasticity, Journal Of Econometrics, 31, 307-327
  • Chıu C. L., Chıang S.M.,, Hung J.C., Chen Y.L. (2006) Clearing Margin System In The Futures Markets—Applying The Value-At-Risk Model To Taiwanese Data, Physica A 367 353–374
  • Çifter A., Özün A. (2007) The Predictive Performance Of Asymmetric Normal Mixture Garch İn Risk Management: Evidence From Turkey, Munich Personal Repec Archive (Mpra), Paper No: 2489, November
  • Degıannakıs S. (2004) Volatility Forecasting: Evidence From A Fractional Integrated Asymmetric Power Arch Skewed-T Model, Applied Financial Economics, 14,1333-1342
  • Dıng, Z.C., W.J. Granger, R.F. Engle (1993), A Long Memory Property Of Stock Market Returns And A New Model, Journal Of Empirical Finance, 987-1007
  • Engle, R. F. (1982) Autoregressive Conditional Heteroskedasticity With Estimates Of The Variance Of United Kingdom Inflation, Econometrica, 50, 987-1007
  • Ewıng B. T., Malık F. (2005) Re-Examining The Asymmetric Predictability Of Conditional Variances: The Role Of Sudden Changes İn Variance, Journal Of Banking & Finance 29 2655–2673
  • Floros, C., Jaffry, S., Lima, G.V., (2007). Long Memory İn The Portuguese Stock Market, Studies İn Economics And Finance, 24, 220–232.
  • Glosten, L.R., Jaganattan,R., Runkle,D, (1993), On The Relation Between The Expected Value And The Volatility Of The Normal Excess Return On Stocks, Journal Of Finance, 48, 1779-1801
  • Huang Y. C., Lın B.J. (2004) Value-At-Risk Analysis For Taiwan Stock Index Futures: Fat Tails And Conditional Asymmetries İn Return Innovations, Review Of Quantitative Finance And Accounting, 22, 79–95
  • Kang, H.S., Yoon, S.M., (2007) Long Memory Properties İn Return And Volatility: Evidence From The Korean Stock Market, Physica A, 385, 591–600.
  • Kılıc, R., (2004) On The Long Memory Properties Of Emerging Capital Markets: Evidence From Istanbul Stock Exchange. Applied Financial Economics 14, 915–922.
  • Kupıec, P., (1995) Techniques For Verifying The Accuracy Of Risk Measurement Models, Journal Of Derivatives 2, 174-184
  • Lı, K., (2002) Long-Memory Versus Option-Implied Volatility Prediction. Journal Of Derivatives 9 (3), 9–25.
  • Longmore, R., Robınson, W. (2004), “Modelling And Forecasting Exchange Rate Dynamics İn Jamaica: An Application Of Asymmetric Volatility Models”, Bank Of Jamaica, 1-32.
  • Martens, M., Zeın, J., (2004) Predicting Financial Volatility: High Frequency Time-Series Forecasts Vis-À-Vis Implied Volatility. Journal Of Futures Markets 24 (11), 1005–1028.
  • Ñíguez T.M. (2003), Volatility And Var Forecasting For The Ibex–35 Stock- Return Index Using Fıgarch-Type Processes And Different Evaluation Criteria, Instituto Valenciano De Investigaciones Económicas, S.A, Primera Edición Septiembre Depósito Legal: V–4053–2003, 1-35
  • Pong, S., Shackleton, M.B., Taylor, S.J., Xu, X., (2004). Forecasting Sterling/Dollar Volatility: A Comparison Of Implied Volatilities And Ar(Fı)Ma Models. Journal Of Banking And Finance 28, 2541–2563.
  • So M. K.P., Yu P. L.H (2006), Empirical Analysis Of Garch Models İn Value At Risk Estimation, International Financial Markets, Institution And Money 16 180–197
  • Tang, T-L, Shıeh, S-J. (2006) Long Memory İn Stock Index Futures Markets: A Value-At-Risk Approach, Physica A, 306, 437-448.
  • Tse, Y. K. (1998) The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rate, Journal Of Applied Econometrics, 193, 49-55.
  • Tu A. H., Wong W. K., Chang M. C. (2008) Value-At-Risk For Long And Short Position Of Asian Stock Markets, International Research Journal Of Finance And Economics, Issn 1450 – 2887, Issue 22 134- 144
  • Vılasuso, J., (2002) Forecasting Exchange Rate Volatility. Economics Letters 76, 59–64.
  • Vougas, D.V., (2004) Analyzing Long Memory And Volatility Of Returns İn The Athens Stock Exchange, Applied Financial Economics, 14, 457– 460.
  • Wu P. T., Shıeh S.J. (2007) Value-At-Risk Analysis For Long-Term Interest Rate Futures: Fat-Tail And Long Memory İn Return Innovations, Journal Of Empirical Finance, 14, 248-259
Toplam 28 adet kaynakça vardır.

Ayrıntılar

Birincil Dil tr;en
Bölüm Makaleler
Yazarlar

Erhan Demireli Bu kişi benim

Yayımlanma Tarihi 6 Temmuz 2011
Yayımlandığı Sayı Yıl 2010 Cilt: 24 Sayı: 4

Kaynak Göster

APA Demireli, E. (2011). Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 24(4), 217-228.

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