Forecasting of Volatility in Stock Exchange Markets by MS-GARCH Approach: An Application of Borsa Istanbul

Öz

The volatility observed in securities markets has an important influence on the decision making processes of stock market stakeholders. In this study, the volatilities in BIST100 index which represents Borsa Istanbul was analyzed. For this purpose, BIST100 index closing data for the period of 03.01.1988-20.04.2018 was used in the study. The BIST100 index was analyzed by Markov regime switching GARCH (MS-GARCH) with three regimes, standard, high and low volatility regimes. As a result of the triple regime MS-GARCH intensive analysis, the existence of endogenous regimens was determined, in which the regime coefficients considered for the index were statistically significant. When the possibilities of regime transitions are analyzed, it is determined that the probability of continuing the standard volatility regime is 0.62, the probability of transition to low volatility regime is 0.23 and the probability of transition to high volatility regime is 0.145. Moreover, it was determined that the possibilities of regime passage in 5 and 20 days are very close to each other.

Anahtar Kelimeler

• Volatility
• Financial Risk
• Markov Switching
• BIST

MS-GARCH Yaklaşımıyla Menkul Kıymet Piyasalarında Volatilite Tahmini: Borsa İstanbul Uygulaması

Öz

Menkul kıymet piyasalarında gözlemlenen volatiliteler, borsa paydaşlarının karar alma süreçlerini etkileyen önemli bir etkendir. Bu çalışmada Borsa İstanbul’u temsil eden BIST100 endeksinde oluşan volatiliteler analiz edilmiştir. Bu amaçla, çalışmada, 01.04.1993-20.04.2018 dönemi BIST100 endeksi kapanış verileri kullanılmıştır. BIST100 endeksi standart, yüksek ve düşük volatilite rejimleri olmak üzere üç rejime dönüştürülerek, Markov Rejim Değişim GARCH (MS-GARCH) ile analiz edilmiştir. Üçlü rejimli MS-GARCH modeli ile yapılan analiz sonucunda endeks için ele alınan rejim katsayılarının istatistiksel olarak anlamlı olduğu, endekste rejimlerin varlığı tespit edilmiştir. Rejim geçişleri olasılıkları incelendiğinde ise birer günlük süreçte standart oynaklık rejiminin sürme olasılığı 0,62, düşük volatilite rejimine geçiş olasılığı 0,23 ve yüksek volatilite rejimine geçiş olasılığının ise 0,145 olduğu belirlenmiştir. Ayrıca 5 ve 20 günlük süreçte rejim geçişlerinin olasılıklarının birbirine çok yakın olduğu tespit edilmiştir.

Anahtar Kelimeler

• Oynaklık
• Finansal Risk
• Markov Değişim
• BIST

Kaynakça

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