Ekonomik Bir Uygulama ile Kendinden Uyarımlı Eşiksel Değişen Varyanslı Otoregresif Model

Öz

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

Anahtar Kelimeler

• Kendinden Uyarımlı Eşiksel Otoregresif Model, Lineer Olmama

Kaynakça

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