Atıf Sayısı
4
Görüntüleme
53
İndirme
19
Bu çalışmada, Borsa İstanbul (BIST) Mali (XUMAL) ve Sınai (XUSIN) Endekslerinin 07.01.2007-03.02.2019 dönemine ilişkin haftalık logaritmik getirileri ele alınarak volatilite tahminlemesi yapılması amaçlanmıştır. Çalışmada simetrik ve asimetrik koşullu değişen varyans modelleri kullanılmıştır. Bu kapsamda ilk olarak serilere ilişkin en uygun ARMA modeli belirlenerek simetrik model olan GARCH ve asimetrik model olan APGARCH ile endekslerin volatilite yapısı araştırılmıştır. Çalışmanın sonucunda BIST Mali endeksi için en uygun tahmin modeli GARCH (1,1), BIST Sınai endeksi için en uygun tahmin modeli ise APGARCH(1,1) olarak belirlenmiştir. BIST Sınai endeksine ilişkin APGARCH (1,1) modelinde kaldıraç parametresi 𝛾1 pozitif ve anlamlı bulunmuştur. Bu durum BIST Sınai endeksinde negatif getiriler için kaldıraç etkisinin varlığını göstermektedir. Dolayısıyla BIST Sınai endeksinde meydana gelecek negatif şoklar, endeks üzerinde aynı büyüklükteki pozitif şoklardan daha fazla etki yarattığı söylenebilmektedir.
In this study, the aim is to make a volatility forecast by addressing the weekly logarithmic returns of the Bursa Istanbul (BIST) Mali (XUMAL) and Sınai (XUSIN) Indices for the period 07.01.2007-03.02.2019. The study used variable models with symmetrical and asymmetrical conditions. In this context, the most appropriate ARMA model for the series was first identified and the symmetrical model GARCH and the asymmetrical model APGARCH and the volatility structure of the indicators were studied. The study found that the most suitable forecast model for the BIST Financial Index was GARCH (1,1), while the most suitable forecast model for the BIST Financial Index was APGARCH (1,1). In the APGARCH (1,1) model for the BIST index, the lifting parameter γ 1 was found positive and meaningful. This situation indicates the existence of a lifting effect for negative returns in the BIST Index. Therefore, the negative shocks that occur in the BIST Index can be said to have more impact on the index than the positive shocks of the same size.
In this study, it is aimed to estimate the volatility of BIST Financial and Industrial Indices by considering the weekly logarithmic returns for the period of 07.01.2007-03.02.2019. In the study, symmetric and asymmetric conditionally varying variance models were used. In this context, firstly the most suitable ARMA model for the series was determined and the volatility structure of the indices was investigated by using the symmetrical model GARCH and the asymmetric model APGARCH model. As a result of the study, the most appropriate estimation model for BIST Financial Index is GARCH (1,1) and the most appropriate estimation model for BIST Industrial Index is APGARCH (1,1). The leverage parameter 𝛾1 was positive and significant in the APGARCH (1,1) model for BIST industrial index. This situation shows the existence of leverage effect for negative returns in BIST Industrial Index. Therefore, it can be said that the negative shocks in the BIST Industrial Index will have more impact on the index than the positive shocks of the same size.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
Makale Detay 
Atıf Yapanlar
Benzer Makaleler
PDF Görüntüle
Dergi Bilgisi
Eseri Dinleyin
Bu Sayfayı Yazdırın
Paylaş
Mendeley
