Özet:

It is known that the risks of financial assets change over time. Risks more increase or decrease depending on the good news or bad news. One way to reduce risk is to create a portfolio. In this study, a portfolio consisting of Bist 100 index and Dollar was created to measure whether it reduces risk. By using asymmetric GARCH models on this portfolio, it is aimed to measure risk by comparing conditional VaR values on Gold, Bist 100 index and Dollar series with portfolio VaR values. There are many studies that deal with VaR and volatility together. However, choosing the appropriate model in volatility analysis and performing VaR analysis with the provided volatility values are the features that distinguish this study from others. As a result of the statistical analysis, generalized autoregressive conditional variable variance (GARCH) methods were used because the series were not normally distributed and had varying variance. The appropriate GARCH method was found by running the ARMA process. VaR (Value at Risk) analysis was performed for 1, 10 and 252 days at 95% and 99% confidence levels with volatility values according to the appropriate GARCH (1,1) model found. As a result of the study, it was found that the risk increased as the confidence level decreased in Gold, BIST 100 index and Dollar series. The risk increases as the number of days increases. In addition, on one VaR compared values and VaR portfolio values. VaR portfolio values are lower than VaR values. Therefore, it is clearly seen that there is a portfolio effect in the series. 

Anahtar Kelimeler: