BORSA İSTANBUL 100 ENDEKSİ İÇİN DİNAMİK RİSKE MARUZ DEĞER VE BEKLENEN KAYIP ANALİZİ

Öz

Bu çalışmada, BIST 100 endeks getirileri için, önemli finansal risk ölçütlerinden dinamik riske maruz değer ve beklenen kayıp tahmini ve öngörüsü yapılmıştır. Öngörü modeli olarak genelleştirilmiş özyenilemeli skor, ARMA-GARCH ve yuvarlanan pencere tabanlı tahmin modelleri kullanılmıştır. Ayrıca, farklı frekanslarda hesaplanan getiri serileri kullanılarak, farklı frekanslarda risk ölçütleri Nisan 2016 ve Şubat 2019 tarihleri arası için elde edilmiştir. Çalışmanın temel bulguları, 1) Yapılan örneklem dışı analizde genelleştirilmiş özyenilemeli skor tabanlı yöntemlerin daha verimli olduğu ve 2) Risk ölçütlerinin örneklem sonuna doğru dalgalanması azalırken seviyelerinin yavaş bir şekilde arttığı olgularıyla özetlenebilir.

Anahtar Kelimeler

• Riske maruz değer
• Beklenen kayıp
• GARCH modeli
• GAS modeli

ANALYSIS OF DYNAMIC VALUE-AT-RISK AND EXPECTED SHORTFALL FOR BIST 100 INDEX

Öz

In this study, the dynamic Value-at-Risk and Expected shortfall, which are the fundamental financial risk measures, are estimated and forecasted. As the forecasting model, the generalized autoregressive score, ARMA-GARCH, and rolling window-based forecasting models are used. Besides, risk criteria at different frequencies are obtained between April 2016 and February 2019 by using the return series calculated at different frequencies. The main findings of the study can be summarized as, 1) In the out-of-sample analysis, the generalized autoregressive score-based methods exhibit better forecasting performance, and 2) while the fluctuation of risk criteria lowers, their levels gradually increase towards the end of the sample.

Anahtar Kelimeler

• Value-at-Risk
• Expected shortfall
• GARCH model
• GAS model

Kaynakça

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