VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ

Önder Büberkökü

doi:10.14784/marufacd.879194

VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ

Öz

Bu çalışmada Dolar-TL kurunun finansal riskinin yönetiminde kullanılacak modellerin performansı üzerinde volatilitedeki çoklu yapısal kırılmaların olası etkileri incelenmiştir. Finansal risk yönetim modelleri olarak volatilite öngörü (volatlity forecasting) modelleri ile piyasa riski ölçüm modelleri esas alınmıştır. Volatilitedeki çoklu yapısal kırılmaların tespitinde ICSS algoritması ile Bai ve Perron (1998, 2003) testinden yararlanılmıştır. Zamanla değişen volatilite değerleri ise FIGARCH modeli ile tahmin edilmiştir. Çalışma bulguları, Dolar-TL kurunun volatilitesinin çoklu yapısal kırılmalar içerdiği fakat bu yapısal kırılmaların dikkate alınmasının risk yönetim modellerinin performansını artırmadığı sonucuna işaret etmektedir.

Anahtar Kelimeler

Kaynakça

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Ayrıntılar

Birincil Dil

Türkçe

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Önder Büberkökü
Türkiye

Yayımlanma Tarihi

31 Ocak 2021

Gönderilme Tarihi

26 Mart 2020

Kabul Tarihi

4 Eylül 2020

Yayımlandığı Sayı

Yıl 2021 Cilt: 13 Sayı: 24

DOI

https://doi.org/10.14784/marufacd.879194

IZ

https://izlik.org/JA38NY85AS

Kaynak Göster

RIS / Bibtex

APA

Büberkökü, Ö. (2021). VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar ve Çalışmalar Dergisi, 13(24), 86-110. https://doi.org/10.14784/marufacd.879194

Cited By

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https://doi.org/10.54452/jrb.1458441