Atıf Sayısı
5
Görüntüleme
73
İndirme
31
The aim of the study is to construct the model of the volatility in exchange rates considering the asymmetric effects determined by Engel and Ng (1993) sign and size bias tests. Accordingly, the volatility of the TL against EURO which is the currency of European countries having the biggest share of Turkey’s foreign trade is examined by asymmetric GARCH models. A model using monthly time series data covering the period between 1999M01-2019M05 is employed. The size and dimension of the residuals of the previous period have a significant effect on the explanation of exchange rate volatility. According to the results obtained from the asymmetric GARCH models (E-GARCH, TGARCH and APGARCH), positive shocks in the EURO/TL exchange rate have stronger effect than the negative shocks of the same magnitude. Finally, it is concluded based on forecasting error statistics that the best model for estimating the EURO/TL exchange rate volatility is TGARCH model.
The aim of the study is to build the model of the volatility in exchange rates considering the asymmetric effects determined by Engel and Ng (1993) sign and you bias tests. Accordingly, the volatility of the TL against EURO which is the currency of European countries having the largest share of Turkey's foreign trade is examined by asymmetric GARCH models. A model using monthly time series data covering the period between 1999M01-2019M05 is employed. The size and dimension of the remains of the previous period have a significant effect on the explanation of exchange rate volatility. According to the results obtained from the asymmetric GARCH models (E-GARCH, TGARCH and APGARCH), positive shocks in the EURO/TL exchange rate have stronger effect than the negative shocks of the same magnitude. Finally, it is concluded based on forecasting error statistics that the best model for estimating the EURO/TL exchange rate volatility is the TGARCH model.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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