BIST 100 Endeksi Hisse Senedi Fiyat Volatilitesinin Heterojen Otoregresif Gerçekleşen Volatilite Modeliyle Yeniden İncelenmesi

Year 2021, Volume: 25 Issue: 2, 457 - 476, 24.05.2021

Burak Alparslan Eroğlu , Deniz İkizlerli Haluk Yener

Abstract

Bu çalışmada, BIST 100 Endeksi'nin 2016-2019 yılları arasındaki üç yıllık dönem için günlük getirilerinin volatilitesi, getirilerin volatilite dinamikleri üzerindeki kısa, orta ve uzun vadeli etkilerini anlamak için heterojen otoregregresive modelleme kullanılarak analiz edilmektedir. Özellikle, kaldıraç etkisinin ve getirideki sıçramaların BIST 100 Endeksi'nin volatilite dinamiklerini nasıl etkilediği araştırılmaktadır. Analiz için, on altı farklı modeli veri setine uygulanmaktadır ve bu modellerin sonuçları küçük de olsa bir kaldıraç etkisi olduğunu göstermektedir. Sonuçlara göre sıçrama etkisi, analiz için kullanılan model türüne bağlı olarak kısa veya uzun vadede istatistiki olarak anlamlı çıkmaktadır. Ayrıca, BIST 100 Endeksinin sabah seansında gerçekleşen oynaklığın daha düşük olduğunu işaret edilerek, seans seviyesinde mevsimsel bir etki olduğu da gösterilmektedir.

Keywords

Gerçekleşen volatilite, Heterojen ototregresif model, BIST 100 endeksi

Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models

Abstract

In this study, we employ the heterogeneous autoregressive model framework on the (half) daily returns of the BIST 100 index between the years 2016 and 2019. This framework helps us understand the short, medium, and long-term patterns of the volatility dynamics for the return series. Notably, we analyze how leverage effect and jumps in the return series affect the realized volatility of the BIST 100 index. For the analysis, we employ sixteen models, and the results from these models show that there is a leverage effect, albeit small. The effect of jumps is significant and is present either in the short-term or long-term, depending on the type of model utilized for the analysis. We also detect a diurnal effect at the session level, implying that the realized volatility of the BIST 100 index is lower in the morning sessions.

Keywords

Realized volatility, heterogenous autoregressive model, the BIST 100 index

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