DÜŞÜK FREKANSTA İNCELENEN FİNANSAL VARLIKLARIN OYNAKLIK KIRILMALARININ DEĞERLENDİRİLMESİ: BİST-100 ENDEKSİ ÜZERİNE BİR UYGULAMA

Yıl 2018, Cilt: 10 Sayı: 18, 1 - 11, 30.05.2018

Mehmet Çınar , Atilla Hepkorucu

https://doi.org/10.20990/kilisiibfakademik.428585

Cited By: 2

Öz

Çalışmada BIST-100 (ulusal) endeksinin 1986 yılının
birinci ayı ile 2017 yılının üçüncü ayı arasındaki aylık getiri oynaklığı modellenerek
önraporlanmaya çalışılmıştır. BIST-100 endeksinin getiri oynaklığının aylık
veriler için sabit bir değere sahip olduğu belirlenmiştir. Görsel olarak
modelin ortalamaya dönen bir yapıda olduğu saptanmıştır. Bu koşullar altında
modeldeki kırılmaların tahminlenmesi Inclan ve Tiao’nun (1994) ICSS (Yinelenen
Birikimli Kareler Metodu) algoritması ile tespit edilmeye çalışılmıştır.
Kırılmaların oluştuğu tarihler arasında seçim yapılarak modeli en iyi açıklayan
yapı seçilmiştir. Elde edilen sonuçlar karşılaştırıldığında varyansta
kırılmanın dikkate alındığı model sonuçlarının, varyansta kırılmayı dikkate
almayan model sonuçlarına nazaran gerek tahmin sonuçları gerekse öngörü
performansı açısından daha iyi sonuçlara sahip olduğu görülmektedir.

Anahtar Kelimeler

Yinelenen Birikimli Kareler Metodu, Varyans, Varyans Kırılması

Kaynakça

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