Structural Breaks in BIST 100 Volatility Dynamics: An MS-GARCH Analysis of the Effectiveness of the Volatility Based Measures System (VBTS)

Öz

The primary objective of this study is to analyze the structural shifts in the volatility dynamics of the BIST 100 index associated with the implementation of the Volatility Based Measures System (VBTS), using daily return data from the period 01.01.2010–30.06.2025 through Markov-Switching GARCH (MS-GARCH) models. The analysis models not only the pre and post VBTS periods but also the 3- and 5-measure subperiods, in which intervention intensity differs, under flexible distributional assumptions such as the Skewed GED and Skewed Student-t. Model performance is evaluated through backtesting (VaR) procedures. The empirical findings reveal that the introduction of VBTS coincides with a pronounced structural break in market behavior, a greater persistence of crisis episodes, and a lengthening of volatility shock decay. A notable contribution of the study is the identification of the nonlinear impact of measure intensity on market dynamics. Specifically, while the 3-measure framework appears to offer an optimal balance that preserves market stability, the 5-measure structure is found to excessively accelerate regime switching, deteriorate market quality, and amplify uncertainty. The insignificance of the asymmetric effect during the 5-measure period indicates that, in the uncertainty created by market interventions, investor behavior was distorted and volatility assumed a chaotic structure.

Anahtar Kelimeler

• BIST 100
• VBTS
• MSGARCH
• Structural Break
• Volatility

BIST 100 Volatilite Dinamiklerinde Yapısal Kırılma: Volatilite Bazlı Tedbir Sistemi'nin (VBTS) Etkinliğinin MS-GARCH Modelleri ile Analizi

Öz

Bu çalışmanın temel amacı, BIST 100 endeksinin volatilite dinamiklerinde Volatilite Bazlı Tedbir Sistemi (VBTS) uygulamasıyla meydana gelen yapısal değişimleri, 01.01.2010-30.06.2025 dönemindeki günlük getiri serisini kullanarak Markov Rejim Değişimli GARCH (MS-GARCH) modelleri aracılığıyla analiz etmektir. Yapılan analizlerde VBTS öncesi ve sonrası dönemlerin yanı sıra tedbir yoğunluğunun farklılaştığı 3 ve 5 tedbirli alt dönemler, Çarpık GED ve Çarpık Student-t gibi esnek dağılım varsayımları altında modellenmiş ve model başarısı geriye dönük testler (VaR) ile sınanmıştır. Elde edilen bulgular, VBTS uygulamasıyla birlikte piyasada belirgin bir yapısal kırılma yaşandığını, krizlerin yapışkan hale geldiğini ve volatilite şoklarının sönümlenme süresinin uzadığını göstermektedir. Çalışmanın dikkat çekici bulgusu ise tedbir yoğunluğunun piyasa üzerindeki etkisinin doğrusal olmamasıdır. Nitekim 3 tedbirli yapının piyasa istikrarını koruyan optimal bir denge sunduğu; buna karşın 5 tedbirli yapının rejim geçişlerini aşırı sıklaştırmak suretiyle piyasa kalitesini bozduğu ve belirsizliği artırdığı tespit edilmiştir. Özellikle 5 tedbirli dönemde asimetrik etkinin anlamsızlaşması, piyasa müdahalelerinin yarattığı belirsizlik ortamında yatırımcı davranışlarının bozulduğunu ve volatilitenin kaotik bir yapıya büründüğünü göstermektedir.

Anahtar Kelimeler

• BIST 100
• VBTS
• MS-GARCH
• Yapısal Kırılma
• Volatilite

Kaynakça

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