Türkiye’de Zorunlu Deprem Sigortası Primlerinin Volatilite Dinamikleri Üzerine Ampirik Bir İnceleme

Yıl 2025, Cilt: 7 Sayı: Özel Sayı, 84 - 98, 17.12.2025

Muhammet Kotan

https://doi.org/10.46464/tdad.1762942

Öz

Bu çalışma, 2014M01–2025M06 dönemine ait Türkiye Zorunlu Deprem Sigortası prim üretimi verilerini kullanarak, 6 Şubat 2023 Kahramanmaraş depremleri sonrasında ortaya çıkan volatilite dinamiklerini koşullu varyans modelleri aracılığıyla incelemektedir. ARCH, GARCH, EGARCH, TARCH ve CGARCH modelleri karşılaştırmalı olarak uygulanmış; şokların ani ve kalıcı bileşenlerini ayrıştırmak amacıyla kukla değişkenler kullanılmıştır. Elde edilen bulgular, CGARCH modelinin kısa ve uzun vadeli oynaklık yapısını açıklamada göreli olarak daha dengeli sonuçlar sunduğunu göstermektedir. Bulgular, büyük ölçekli depremlerin sigorta prim dinamikleri üzerindeki kalıcı etkilerine işaret etmekte ve afet sonrası finansal oynaklığın modellenmesine yönelik metodolojik katkılar sağlamaktadır.

Anahtar Kelimeler

Zorunlu Deprem Sigortası , Volatilite , GARCH , Deprem ekonomisi

An Empirical Analysis of the Volatility Dynamics of Compulsory Earthquake Insurance Premiums in Türkiye

Öz

This study examines the volatility dynamics emerging after the February 6, 2023 Kahramanmaraş earthquakes using conditional variance models based on the compulsory earthquake insurance premium data for Türkiye covering the period 2014M01–2025M06. ARCH, GARCH, EGARCH, TARCH, and CGARCH models are applied comparatively, employing dummy variables to distinguish the immediate and persistent components of shocks. The findings reveal that the CGARCH model provides relatively more balanced results in explaining short- and long-term volatility structures. The results highlight the lasting impacts of large-scale earthquakes on insurance premium dynamics and offer methodological contributions to the modeling of post-disaster financial volatility.

Anahtar Kelimeler

Compulsory Earthquake Insurance , Volatility , GARCH , Earthquake economics

Kaynakça

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