Özet:

The aim of this study is to model the gameplay in the exchange rate, taking into account the asymmetric effects determined by the sign and size errors tests of Engel and Ng (1993) . In this direction, the European countries with the largest market in foreign trade in Turkey have been studied with the asymmetric GARCH models of the Euro's currency against the TL. Monthly data for the 1999M01-2019M05 period of the Euro/TL currency exchange rate were used. The empirical results show that the Euro/TL currency currency game series has asymmetry. The size and size of the remains of the past period has a significant influence on the explanation of the currency rate. The results from the asymmetric GARCH models (E-GARCH, TGARCH and APGARCH) indicate that the positive shocks in the Euro/TL exchange rate have more impact than the negative shocks in the same size. Finally, the forecast obtained using these models, according to the error statistics, concluded that the best model for the EURO/TL currency rate forecast was the TGARCH model.

Özet:

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.

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