LONG MEMORY ANALYSIS of the BIST-100 INDEX VOLATILITY INCLUSIVE of STRUCTURAL BREAKS

Yıl 2014, Cilt: 9 Sayı: 36, 6299 - 6314, 26.01.2015

Samet Gunay

https://doi.org/10.19168/jyu.23261

Cited By: 5

Öz

In this study, long memory structure of the BIST-100 Index volatility has been examined. Long memory is one of the indicators of fractality and also it is used to test the weak form of the Efficient Market Hypothesis. In the empirical part, we used squared and absolute returns of the BIST-100 Index during the period of 03.01.1990-15.05.2013. Econometric analysis was conducted via FIGARCH method. Since structural breaks can produce spurious long memory effect, all long memory tests were performed before and after Bai-Perron multiple break points analysis. Results exhibited that there is a long memory effect in the BIST-100 index volatility within the period of sample

Anahtar Kelimeler

Long Memory, Structural Breaks, FIGARCH, Bai-Perron Test

YAPISAL KIRILMALAR DAHİLİNDE BİST-100 ENDEKSi VOLATİLİTESİNİN UZUN DÖNEMLİ BELLEK ANALİZİ

Öz

Bu çalışmada BİST-100 Endeksi’nin volatilitesindeki uzun dönemli bellek yapısı incelenmiştir. Uzun dönemli bellek analizi fraktallığın göstergelerinden birisi olup, aynı zamanda Etkin Piyasa Hipotezi’nin zayıf formunun testinde de kullanılmaktadır. Çalışmanın ekonometrik analizi BİST-100 Endeksi’nin 03.01.1990-15.05.2013 zaman aralığındaki kareli ve mutlak getirileri ile FIGARCH modeli üzerinden yapılmış olup, yapısal kırılmaların varlığı sahte uzun dönemli bellek etkisi yaratabileceğinden, testler Bai-Perron çoklu yapısal kırılma testi öncesi ve sonrası olmak üzere iki kez gerçekleştirilmiştir. Elde edilen sonuçlar, incelenen dönem içerisinde BİST-100 Endeksi’nin volatilitesinde uzun dönemli belleğin varlığını ortaya koymuştur.

Anahtar Kelimeler

Uzun Dönemli Bellek, Yapısal Kırılmalar, FIGARCH, Bai-Perron Test

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