Volatility Analysis of the Food Sector in Turkey in the Period of COVID-19

Abstract

In the literature, there are many studies investigating the direct and indirect effects of the pandemic. After the first COVID-19 case, these studies began to spread rapidly in Turkey. Due to the measures taken, activities in many sectors were suspended partially and full-time. Among the sectors, the food sector has experienced one of the most challenging processes. The food industry has entered a new era due to reasons such as changing consumption and production behaviors and disruptions in supply chains. The purpose of this study is to determine the impact of the COVID-19 outbreak on the food and beverage industry. In this context, daily data between 03.01.2017-08.04.2021 was used and the Food and Beverage Index (XGIDA) was included in the models as an explanatory variable. In the light of this information, the relationship between the XGIDA index and COVID-19 was examined with Univariate Volatility Models. In addition to the asymmetry and leverage effect in the XGIDA sector, an intra-period forecast was made to determine the fluctuations in the XGIDA sector during the sampling period.

Keywords

• Covid-19
• EGARCH Model
• XGIDA Sector
• Forecasting

COVID-19 Döneminde Türkiye'de Gıda Sektörünün Volatilite Analizi

Öz

Literatürde pandeminin doğrudan ve dolaylı etkilerini araştıran birçok çalışma bulunmaktadır İlk COVID-19 vakasının ardından Türkiye'de de bu çalışmalar hızla yayılmaya başladı. Alınan tedbirler nedeniyle birçok sektörde faaliyetler kısmi ve tam zamanlı olarak durduruldu. Sektörler arasında gıda sektörü en zorlu süreçlerden birini yaşamıştır. Değişen tüketim ve üretim davranışları, tedarik zincirlerindeki aksaklıklar gibi nedenlerle gıda sektörü yeni bir döneme girmiştir. Bu çalışmanın amacı da COVID-19 salgınının yiyecek içecek sektörü üzerindeki etkisini belirlemektir. Bu bağlamda 03.01.2017-08.04.2021 tarihleri arasındaki günlük veriler kullanılmış ve Gıda ve İçecek Endeksi (XGIDA) açıklayıcı değişken olarak modellere dahil edilmiştir. Bu bilgiler ışığında XGIDA endeksi ve COVID-19 ilişkisi Tek Değişkenli Volatilite Modelleri ile incelenmiştir. XGIDA sektöründeki asimetri ve kaldıraç etkisinin yanı sıra örnekleme döneminde XGIDA sektöründeki dalgalanmaları belirlemek amacıyla dönem içi tahmin yapılmıştır.

Anahtar Kelimeler

• Covid-19
• EGARCH Modeli
• XGIDA Sektörü
• Dönem içi Öngörü

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