Abstract:

Purpose: While volatility is a possible measure of risk on different macroeconomic variables, it has become a special analysis process for exchange rate volatility after financial globalization The purpose of this research is to examine the volatility of the currency basket which formed from Turkey's external debt and trade in the dominant dollar and the euro currency. Design/Methodology: Currency basket volatility was analyzed with GARCH, EGARCH, TGARCH and PARCH models under normal and Student-t distributions in the period 2001:M1-2020:M6. Findings: According to the comparison of the estimation results of the models in question, the best model for determining basket exchange rate volatility is PARCH (1,1) under Student-t distribution. It is thought that the PARCH(1,1) model under the Student-t distribution, which also has a high predictive performance, will succeed in the future projections of the currency basket series. Limitations: Evaluating only the dollar and euro as a basket exchange component is the limitation of this research. Originality/Value: As an alternative to the only current study on modeling basket exchange rate volatility, his contribution to the literature constitutes the originality of the research

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