ANALYSIS OF US DOLLAR/TURKISH LIRA EXCHANGE RATE BY AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY MODELS: THE CASE OF TURKEY
Öz
Exchange rates, which have attracted much attention throughout the world, are an important financial
problem. In this study, we investigate the performance of generalized autoregressive conditional
heteroscedasticity models by employing GARCH, EGARCH and TARCH models using daily data over the period
04.01.2010 to 17.03.2017 in terms of modelling the daily changes in exchange rate. All results obtained from
the models show that volatility was persistent. In addition, the findings of AR(2)-EGARCH(2,2,2) model verify
that there is existence of statistically significant asymmetric effects. The results from all asymmetry models
emphasize that the hypothesis of leverage effect cannot be rejected because the effects of negative and
positive shocks have not same impact on volatility. As a result, the findings of this study provide relevant
information and benchmark for policy makers and investors in decision making to comprehend investment
strategies and enhance exchange rate stability in economy.
Anahtar Kelimeler
Kaynakça
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