Do Frequency Differences Overshadow Sustainability Impact? The GARCH-MIDAS Example

Abstract

This study analyzes the effect of carbon dioxide (〖CO〗_2) emissions per capita, which is an important indicator of environmental sustainability, on the volatility of Borsa Istanbul 100 (BIST100) index through financial data at different frequencies (daily, weekly and monthly). Since environmental data are at annual frequency and financial returns are at high frequency, GARCH-MIDAS(1,1) model was preferred. This model enables analysis by integrating the low-frequency structure of macro variables with the high-frequency nature of financial market variables. The findings of the study show that the effect of environmental variables on volatility varies depending on the data frequency. Especially in the weekly data frequency, both short-term and long-term parameters were found to be statistically significant and the performance of the model reached the highest level. The results reveal that frequency differences can significantly affect the sustainability-finance relationship and that the correct frequency selection plays a critical role in the analysis.

Keywords

• GARCH-MIDAS
• Environmental Sustainability
• Data Frequency Comparison

Frekans Farklılıkları Sürdürülebilirlik Etkisini Gölgeliyor mu? GARCH-MIDAS Örneği

Öz

Bitcoin’in 2008'de oluşturulmasından beri güvenli liman, riskten korunma ve risk varlıklarının çeşitlendirilmesi gibi kripto para birimleri ve değerli metallerin paylaştığı çeşitli ortak özellikler geniş çapta tartışma konusu olmuştur. Bitcoin getirileri ile değerli metaller olan altın, bakır, gümüş ve platin getirileri arasındaki dinamik koşullu korelasyonları ve volatilite yayılımlarını analiz eden bu çalışmada DCC- GARCH modeli kullanılmıştır. Bitcoin getirileri ile değerli metaller olan altın, bakır, gümüş ve platin getirilerinin tüm modellerde volatilitelerinin kalıcı olduğu, incelenen tüm getiri serilerinde volatilite kümelenmesinin oluştuğu gözlemlenmiştir. Altın piyasasından Bitcoin piyasasına doğru tek yönlü volatilite aktarımına karşın, Bitcoin piyasasından bakır, gümüş ve platin piyasalarına doğru tek yönlü volatilite aktarımı bulunmuştur. Dinamik koşullu korelasyonlarda Bitcoin ile altın piyasalarında altın piyasası için, Bitcoin ve bakır piyasalarında Bitcoin ve bakır için anlamlı sonuçlar çıkmıştır. Bitcoin ve gümüş ile Bitcoin ve platin piyasaları arasında dinamik koşullu korelasyonlara rastlanmamıştır.

Anahtar Kelimeler

• GARCH-MIDAS
• Çevresel Sürdürülebilirlik
• Veri Frekansı Karşılaştırması

Kaynakça

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