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Finansal Verilerin Arıma ve Arch Modelleriyle Öngörüsü: Türkiye Örneği

2017

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Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi

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Bu çalışmanın amacı borsa, altın, döviz ve petrol fiyatlarının Box-Jenkins modelleri ve ARCH modelleri ile öngörülmesidir. Bu doğrultuda çalışmada BIST100 endeksi, altın ve petrol fiyatları ile döviz kuru değişkenlerine ait 01.02.2009-11.25.2016 tarihleri arasında yer alan haftalık veri setleri kullanılmıştır. Yapılan analizler sonucunda altın fiyatları haricindeki tüm değişkenlerde asimetrik etkinin varlığı ortaya koyulmuştur. Ayrıca ARCH modellerinden elde edilen öngörülerin theil istatistiklerinin sıfıra oldukça yakın olduğu bulunmuştur.

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Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi

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Finansal Verilerin Arıma ve Arch Modelleriyle Öngörüsü: Türkiye Örneği

2017

Journal:

Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi

Author:

DOI:

10.17153/oguiibf.317641

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To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

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Similar Articles

Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi

User Guide

Menu

Mendeley

Endnote

Finansal Verilerin Arıma ve Arch Modelleriyle Öngörüsü: Türkiye Örneği

2017

Journal:

Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi

Author:

DOI:

10.17153/oguiibf.317641

Abstract:

Keywords:

Citation Owners

Attention! To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

Off-Campus AccessIf you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.

Similar Articles

Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi

Attention!
To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

Off-Campus Access
If you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.