KRİPTO PARALARIN VOLATİLİTE DİNAMİKLERİNİN İNCELENMESİ: GARCH MODELLERİ ÜZERİNE BİR UYGULAMA

Yıl 2019, , 59 - 71, 30.12.2019

Murat Ertuğrul

https://doi.org/10.11611/yead.555713

Cited By: 7

Öz

Çalışmada
2008 küresel finansal krizden sonra ortaya çıkan ancak halen tam olarak para
muamelesi görmeyen temel kripto paralar olan Bitcoin ve Ripple’ın getiri
oranlarının volatilite özellikleri modellenmiştir. Uygulamalı analizde Bitcoin
ve Ripple getiri oranları için geleneksel ARCH ve GARCH modelleri yanında
asimetriyi de dikkate alan EGARCH ve TGARCH modelleri de tahmin edilmiştir.
Alternatif modellerin öngörü performanslarına göre yapılan karşılaştırmada en
başarılı olan model olarak asimetriyi dikkate alan TGARCH modeli bulunmuştur.
Ayrıca en başarılı modelden elde edilen koşullu varyansların grafiği
incelendiğinde volatilitenin yükseldiği dönemlerin kripto paraların
fiyatlarında büyük oynaklıkların olduğu dönemlerle örtüştüğü gözlenmiştir. 

Anahtar Kelimeler

Kripto Paralar, Volatilite Modellemesi

INVESTIGATION OF VOLATILITY DYNAMICS OF CRYPTOCURRENCIES: AN APPLICATION ON GARCH MODELS

Öz

In this study, the volatility characteristics of the return rates of Bitcoin and Ripple, which emerged after the 2008 global financial crisis and are not yet fully accepted as currency, are modeled. In the empirical modeling, we employed both traditional ARCH/GARCH models and EGARCH-TGARCH models which take asymmetry into consideration. We compare alternative models according to their forecast performance and asymmetric TGARCH model is found as the most successful model according to forecast performance criteria. Also, when we examine conditional variance obtained from the most successful model, we observe that higher volatility periods overlap with the periods of high price movements of the analyzed crypto currencies.

Anahtar Kelimeler

: Crypto Currencies, Volatility Modeling, ARCH/GARCH Models

Kaynakça

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