Analysis of Volatility Structure Using Conditional Heteroscedasticity Models: The Case of Participation 30 and Participation 50 Indexes

Turan Öndeş; Muhammet Levet

Makale detayları

Analysis of Volatility Structure Using Conditional Heteroscedasticity Models: The Case of Participation 30 and Participation 50 Indexes

Yazarlar:

Turan Öndeş | Muhammet Levet

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finance

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.66-84

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001314650

pISSN:

2149-1658

Anahtar kelimeler:

Özet:

 This study aims to determine the most suitable model that explains the volatility structures of the Participation 30 and Participation 50 indexes traded in Borsa Istanbul BIST. In order to determine the volatility structures of the aforementioned indexes; ARCH, GARCH, EGARCH, TGARCH, and PARCH models, which are called conditional heteroscedasticity models, are included in the analysis. As a result of the study, in which the weekly closing prices of the 2015-2020 period were used, it was determined that the most suitable volatility model for both indexes was the EGARCH 1,1 model and that the negative shocks in the indexes were more effective than the positive shocks. Another finding was that the effect of a shock in the indexes lasted approximately 32 days in the Participation 30 index and 28 days in the Participation 50 index.

 This study aims to determine the most suitable model that explains the volatility structures of the Participation 30 and Participation 50 indexes traded in Borsa Istanbul BIST. In order to determine the volatility structures of the aforementioned indexes; ARCH, GARCH, EGARCH, TGARCH, and PARCH models, which are called conditional heteroscedasticity models, are included in the analysis. As a result of the study, in which the weekly closing prices of the 2015-2020 period were used, it was determined that the most suitable volatility model for both indexes was the EGARCH 1,1 model and that the negative shocks in the indexes were more effective than the positive shocks. Another finding was that the effect of a shock in the indexes lasted approximately 32 days in the Participation 30 index and 28 days in the Participation 50 index.

 This study aims to determine the most suitable model that explains the volatility structures of the Participation 30 and Participation 50 indexes traded in Borsa Istanbul BIST. In order to determine the volatility structures of the aforementioned indexes; ARCH, GARCH, EGARCH, TGARCH, and PARCH models, which are called conditional heteroscedasticity models, are included in the analysis. As a result of the study, in which the weekly closing prices of the 2015-2020 period were used, it was determined that the most suitable volatility model for both indexes was the EGARCH 1,1 model and that the negative shocks in the indexes were more effective than the positive shocks. Another finding was that the effect of a shock in the indexes lasted approximately 32 days in the Participation 30 index and 28 days in the Participation 50 index.

 Çalışmanın amacı, Borsa İstanbulda BIST işlem gören Katılım 30 ve Katılım 50 endekslerinin volatilite yapılarını açıklayan en uygun modeli belirlemektir. Söz konusu endekslerin volatilite yapılarını tespit etmek için koşullu değişen varyans modelleri olarak adlandırılan ARCH, GARCH, EGARCH, TGARCH ve PARCH modelleri analiz kapsamına dâhil edilmiştir. 2015-2020 dönemine ait haftalık kapanış fiyatlarının kullanıldığı çalışmanın sonucunda; iki endeks için de uygun olan volatilite modelinin EGARCH 1,1 modeli olduğu belirlenmiş ve endekslerde meydana gelen negatif şokların pozitif şoklardan daha etkili olduğu tespit edilmiştir. Ayrıca endekslerde meydana gelen bir şokun etkisinin; Katılım 30 endeksinde yaklaşık olarak 32 gün, Katılım 50 endeksinde ise 28 gün sürdüğü sonucuna ulaşılmıştır.

Makale detayları

Analysis of Volatility Structure Using Conditional Heteroscedasticity Models: The Case of Participation 30 and Participation 50 Indexes

Yazarlar:

Turan Öndeş | Muhammet Levet

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finance

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.66-84

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001314650

pISSN:

2149-1658

Volatility

Volatility Structure

BIST

Participation IndexesVolatilite

Volatilite Yapısı

BIST

Katılım Endeksleri

Sayı

Makale detayları

Yazarlar: Turan Öndeş | Muhammet Levet

Yayıncı: Burdur Mehmet Akif Ersoy University

Ana Başlıklar: Finance

Dergi: Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.66-84

Belge Tipi: Makale

Yayın Tarihi: 3/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001314650

pISSN: 2149-1658

Sayı

Yazarlar:

Turan Öndeş | Muhammet Levet

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Finance

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.66-84

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001314650

pISSN:

2149-1658