Yıl 2020, Cilt 9 , Sayı 2, Sayfalar 834 - 843 2020-04-24

Arch-Garch Modelleri Kullanılarak Döviz Kurundaki Dalgalanmanın Modellenmesi: Türkiye Örneği
The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey

Fuat SEKMEN [1] , Galip Afşin Ravanoğlu [2]


Bu çalışma, ARCH tipi modelleri kullanarak nominal döviz kurundaki oynaklığı modelleyen en uygun metodu bulmaya çalışmaktadır. Araştırma verisi 2002-2017 yılları için günlük verileri kapsamaktadır. Döviz kurundaki dalgalanmanın ARCH etkisine sahip olduğu ve nominal döviz kurunu tahminde en uygun modelin en düşük Akaike bilgi kriterine sahip olmasından dolayı GARCH(1,2) olduğu bulunmuştur. Ayrıca, kriz ve belirsizlik dönemlerinde nominal döviz kuru serisinde artışlar olduğu ve yüksek dalgalanmayı yüksek dalgalanmanın takip ettiği kümelenmenin görüldüğü gözlemlenmiştir.

This study investigates the most appropriate method for modelling the volatility for nominal exchange rate by using the ARCH type models. The research covers the period of 2002-2017 of nominal exchange rate using daily data. It is observed that the volatility of nominal exchange rate has the ARCH effect and the most appropriate model for forecasting the volatility of nominal exchange rate is GARCH(1,2) because it has the lowest Akaike Information Criterion. Furthermore, during the crises and uncertain periods, the volatility of nominal exchange rate series increases and volatility clustering is observed, meaning high volatility tends to follow high volatility and it is true for vice versa. 

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Birincil Dil en
Konular Sosyal
Bölüm Araştırma Makalesi
Yazarlar

Orcid: 0000-0002-8854-8737
Yazar: Fuat SEKMEN (Sorumlu Yazar)
Kurum: SAKARYA ÜNİVERSİTESİ
Ülke: Turkey


Orcid: 0000-0001-5485-4384
Yazar: Galip Afşin Ravanoğlu
Kurum: KARAMANOĞLU MEHMETBEY ÜNİVERSİTESİ
Ülke: Turkey


Tarihler

Yayımlanma Tarihi : 24 Nisan 2020

Bibtex @araştırma makalesi { mjss541309, journal = {MANAS Sosyal Araştırmalar Dergisi}, issn = {1694-7215}, address = {Chyngyz Aytmatov Campus, 720038, Djal, Bishkek, KYRGYZSTAN}, publisher = {Kırgızistan Türkiye Manas Üniversitesi}, year = {2020}, volume = {9}, pages = {834 - 843}, doi = {10.33206/mjss.541309}, title = {The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey}, key = {cite}, author = {SEKMEN, Fuat and Ravanoğlu, Galip Afşin} }
APA SEKMEN, F , Ravanoğlu, G . (2020). The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. MANAS Sosyal Araştırmalar Dergisi , 9 (2) , 834-843 . DOI: 10.33206/mjss.541309
MLA SEKMEN, F , Ravanoğlu, G . "The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey". MANAS Sosyal Araştırmalar Dergisi 9 (2020 ): 834-843 <https://dergipark.org.tr/tr/pub/mjss/issue/53880/541309>
Chicago SEKMEN, F , Ravanoğlu, G . "The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey". MANAS Sosyal Araştırmalar Dergisi 9 (2020 ): 834-843
RIS TY - JOUR T1 - The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey AU - Fuat SEKMEN , Galip Afşin Ravanoğlu Y1 - 2020 PY - 2020 N1 - doi: 10.33206/mjss.541309 DO - 10.33206/mjss.541309 T2 - MANAS Sosyal Araştırmalar Dergisi JF - Journal JO - JOR SP - 834 EP - 843 VL - 9 IS - 2 SN - 1694-7215- M3 - doi: 10.33206/mjss.541309 UR - https://doi.org/10.33206/mjss.541309 Y2 - 2019 ER -
EndNote %0 MANAS Sosyal Araştırmalar Dergisi The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey %A Fuat SEKMEN , Galip Afşin Ravanoğlu %T The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey %D 2020 %J MANAS Sosyal Araştırmalar Dergisi %P 1694-7215- %V 9 %N 2 %R doi: 10.33206/mjss.541309 %U 10.33206/mjss.541309
ISNAD SEKMEN, Fuat , Ravanoğlu, Galip Afşin . "The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey". MANAS Sosyal Araştırmalar Dergisi 9 / 2 (Nisan 2020): 834-843 . https://doi.org/10.33206/mjss.541309
AMA SEKMEN F , Ravanoğlu G . The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. MJSS. 2020; 9(2): 834-843.
Vancouver SEKMEN F , Ravanoğlu G . The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. MANAS Sosyal Araştırmalar Dergisi. 2020; 9(2): 843-834.