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Petrol Piyasasında Oynaklığın Öngörülmesi: Garch Modelleri İle Bir Uygulama
2017
Journal:  
Journal of Academic Value Studies (JAVStudies)
Author:  
Abstract:

Bu çalışmanın amacı petrol fiyatlarındaki oynaklığın tahmini, buna ilişkin uygun modelin ve dağılımın belirlenmesidir. Bu amaçla çalışmada 02.01.2007-30.12.2016 tarihleri arasındaki brent petrole ilişkin USD/Varil günlük getiri serileri kullanılmıştır. Petrol fiyatlarındaki oynaklığı modellemek için normal ve student-t dağılımlı Genelleştirilmiş Otoregresif Koşullu Değişen Varyans (GARCH) modeli ile olumlu ve olumsuz haberlerin oynaklık üzerindeki etkisini ortaya koymak amacıyla asimetrik GARCH modelleri arasında yer alan Üssel GARCH (EGARCH) modeli kullanılmıştır. Simetrik ve asimetrik GARCH modelleri arasında en uygun modelin belirlenmesinde hata istatistiklerinden yararlanılmıştır. Çalışmadan elde edilen bulgular, brent petrol piyasasında volatiltenin modellenmesinde normal dağılımlı simetrik ve asimetrik GARCH modellerine kıyasla student-t dağılımlı simetrik GARCH(1,1) modelinin daha başarılı olduğunu ortaya koymaktadır.

Keywords:

an application with garch models predicting volatility in the oil market
2017
Author:  
Abstract:

the aim of this study is to determine the appropriate model and distribution of the playability in oil prices for this purpose in the study wed047varil daily return series on brent oil between 0201200730122016 in the study was used in oil prices to model the playability in the normal and studentt distributioned generalized autoregressive condition-changing variance garch model with positive and negative news in order to reveal the effect of playful garch models, including asymmetric garch models, üssel garch arch arch arch arch eg model was used in order to determine the normal and asymmetrical model of the most suitable in the distribution of oil and asymmetrical model of the exemptuous application compared to obtaining of the most appropriate exemployed in the norms of the exemploymentary model of the exemploymentary model of the exemploymentary series of the exemptom and more appropriately determined in accordance with the exemployment and more appropriate exemployed model of the exemploymentary and more appropriate exemploymentary series of the exe

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Journal of Academic Value Studies (JAVStudies)

Field :   Filoloji; Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

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Journal of Academic Value Studies (JAVStudies)