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Volatilite, finansal piyasalarda belirli bir ürünün belirli bir zaman içerisinde fiyatında yaşanan değişimdir. Riskin temel göstergesi olan volatilite, finansın en önemli konularından birini oluşturmaktadır. Finansal zaman serilerinde volatilitenin modellenmesi ve tahmini önemle üzerinde durulan konulardan biridir. Bu çalışmada Türk lirasının farklı ülkelerin para birimlerine karşı değerinde yaşanan oynaklığın yayılım etkisinin olup olmadığı incelenmiştir. Temel amaç çok değişkenli M-GARCH modellerini kullanarak Türkiye’nin dış ticaretinde önemli paya sahip ülkelerin para birimleri arasındaki oynaklık yayılım ilişkisini belirlenmesidir. Bu kapsamda ele alınan veriler, Ocak 2005-Mart 2019 döneminden oluşup, aylık olarak incelenmiştir. Türkiye’nin dış ticaretinde en büyük paya sahip beş ülkenin para birimi çok değişkenli GARCH (M-GARCH Dinamik Koşullu Korelasyon) modeli ile incelenmiştir. Elde edilen sonuçlara göre beş değişken için Dinamik Koşullu Korelasyon modelinde anlamlı bulgulara ulaşılmış ve para birimleri arasında oynaklık etkileşiminin olduğu tespit edilmiştir.
Volatility is a change in the price of a particular product within a certain period of time on financial markets. Volatility, the main indicator of risk, is one of the most important issues in finance. The modeling and forecast of volatility in financial time series is one of the topics that are importantly focused on. This study examined whether the value of the Turkish lira against the currencies of different countries has the influence of the spread of the game. The main objective is to determine the multi-variable M-GARCH models of the foreign trade of Turkey between the currencies of the countries that have an important role in foreign trade. The data discussed in this context, consisted of the period January 2005–March 2019, and was reviewed monthly. The currency of the five countries with the largest market in foreign trade in Turkey has been studied with the multi-variable GARCH (M-GARCH Dynamic Conditional Correlation) model. According to the results obtained, significant findings were achieved in the Dynamic Conditional Correlation model for five variables and the currencies were found to have a game interaction.
Volatility means that the change in the price of a particular product in a given time in financial markets. As the main indicator of risk, volatility constitutes one of the most important issues in finance. Modeling and estimation of volatility in financial time series is one of the topics that are emphasized. In this study, it is examined whether the volatilities experienced in the value of the Turkish lira against the currencies of different countries have spread effects. The main objective of the study is that, by using multivariate M-GARCH models, determining the volatility spillover between the currencies of countries with a significant share in Turkey's foreign trade. The data discussed in this context consisted of January 2005-March 2019 period and were examined monthly. Currency of the five countries which have biggest share of the Turkey’s foreing trade, investigated with multivariate GARCH (Dynamic Conditional Correlation GARCH-M) model. According to the results, meaningful findings were obtained in Dynamic Conditional Correlation model for five variables and it was found that there was volatility interaction between currencies.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Ulusal
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