Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

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Kahramanmaraş Sütçü İmam Üniversitesi

Ekonomik Bir Uygulama ile Kendinden Uyarımlı Eşiksel Değişen Varyanslı Otoregresif Model

Kahraman

Ümran M. TEKŞEN

Genç

Aşır

03 01 2012

2 1 1 18 06 28 2014

2011

Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Bu çalışmada, eşiksel otoregresif (TAR) modeller sınıfından kendinden uyarımlı eşiksel otoregresif (SETAR) modelin yapısı üzerinde durulmuştur. Model parametrelerini belirlemek için Tsay (1989)’in önerdiği yöntem kullanılmıştır. Farklı rejimlerde ortalamanın yanı sıra varyansta da eşiksellik yapısı düşünülerek varyansın modellenmesine çalışılmıştır. Uygulama verisi olarak 03.01.2005-30.12.2011 dönemini kapsayan serbest piyasadaki günlük altın fiyatları serisi TL cinsinden alınarak bir model oluşturulmuştur

Kendinden Uyarımlı Eşiksel Otoregresif Model Lineer Olmama

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