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Asimetrik volatilite negatif dalgalanmaların varyans üzerinde pozitif dalgalanmalara göre daha yüksek etki yaratması olarak tanımlanabilir. Bu olgu finansal serilerin yapısal bir özelliği olmakla birlikte kriz dönemlerinde daha da derinleştiği düşünülmektedir. Bu çalışmada 2020 başlarında uzak doğu ülkelerinde görülmeye başlayan daha sonra hızla tüm dünyaya yayılan pandemi kaynaklı küresel krizin etkisi sonucu asimetrik volatilite varlığı test edilmiştir. Pandemi kaynaklı krizin BIST birincil sektör endeksleri üzerinde yarattığı asimetrik volatilite etkisi incelenmiştir. Çalışmada GJR-GARCH (1,1) istatistiksel modeli kullanılmıştır. Bulunan sonuçlara göre asimetrik volatilite hem pandemi öncesi hem de pandemi dönemi için BIST sektör endekslerinin karakteristik bir özelliği olmakla birlikte bütün alt sektörler kriz sonrası dönemde daha anlamlı derecede sonuçlar vermiştir. Ayrıca asimetri katsayısının kriz sonrası dönemlerin tamamında daha yüksek olduğu görülmüştür.
asymmetric volatility can be defined as the creation of higher impact on positive fluctuations on the variance of negative fluctuations, this phenomenon is a structural feature of financial series, but it is thought that during crisis times even deeper this study began to be seen in remote eastern countries early 2020, then the presence of asymmetric volatility, as a result of the influence of the global crisis, the presence of asymmetric volatility, which quickly spread to the whole world, has been tested, but in the study, gjrgarch 11 statistical model, asymmetrical volatility effect of the pandemi-borne crisis, asymmetrical indexes, as well as well as a result of the result of the result of the result of the result of the results of the overall sector, as a significant outcome of the results of the results of the anticithemia, but also in the results, and a significant indexes, asymmetrical sector indexes of the result of the result of the result of the result of the result of the result of the result of the result of the result of the result of the pandemicymemia, were significantly lower-exemia, asymmetric
Asymmetric volatility can be defined as negative fluctuations having a higher effect on the variance than positive fluctuations. Although this phenomenon is a structural feature of financial series, it is thought to strengthen even more during crisis periods. In this study, the presence of asymmetric volatility was tested as a result of the effect of the global crisis caused by the pandemic, which started to be seen in the Far East countries at the beginning of 2020 and then spread rapidly all over the world. The asymmetric volatility effect of the crisis on BIST primary sector indices has been examined. GJR-GARCH (1,1) statistical model is applied. Based on findings, although asymmetric volatility is a characteristic feature of BIST sector indices for both the pre-pandemic and pandemic periods, all sectors gave more significant results in the pandemic period. In addition, it is observed that the asymmetry coefficient is higher in all pandemic periods.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Ulusal
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