VOLATILITY MODELING OF THE PARTICIPATION-50 INDEX WITH CONDITIONAL VARIANCE MODELS

Metin Seyhan

Makale detayları

VOLATILITY MODELING OF THE PARTICIPATION-50 INDEX WITH CONDITIONAL VARIANCE MODELS

Yazarlar:

Metin Seyhan

Yayıncı:

Van Yuzuncu Yıl University

Ana Başlıklar:

Finans

Dergi:

Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 15, pp.94-114

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001295392

pISSN:

2651-3943

Anahtar kelimeler:

Özet:

 In the study, it is aimed to reveal the volatility structure and the volatility clustering dates of the index over the daily closing values of the Participation-50 Index between 09.07.2014 and 31.12.2021. The symmetric-asymmetric states of the Participation-50 Index were tested with ARCH, GARCH, IGARCH, TGARCH and EGARCH models. As a result of the analysis, it was seen that the model that best predicts the volatility of the Participation-50 Index is the ARCH 3 model. In the Participation 50 Index, it has been determined that the volatility in the current period is affected by 0.11 units by shocks one period ago, by 0.15 units by shocks two periods ago and by 0.14 units by shocks three periods ago. In addition, the volatility clusters in the Participation-50 Index can be found on 20072016, 13072018, 01042019, 17032020, 11082020, 01022021, 25032021 and It was determined that it took place on 22122021.

 In the study, it is aimed to reveal the volatility structure and the volatility clustering dates of the index over the daily closing values of the Participation-50 Index between 09.07.2014 and 31.12.2021. The symmetric-asymmetric states of the Participation-50 Index were tested with ARCH, GARCH, IGARCH, TGARCH and EGARCH models. As a result of the analysis, it was seen that the model that best predicts the volatility of the Participation-50 Index is the ARCH 3 model. In the Participation 50 Index, it has been determined that the volatility in the current period is affected by 0.11 units by shocks one period ago, by 0.15 units by shocks two periods ago and by 0.14 units by shocks three periods ago. In addition, the volatility clusters in the Participation-50 Index can be found on 20072016, 13072018, 01042019, 17032020, 11082020, 01022021, 25032021 and It was determined that it took place on 22122021.

 In the study, it is aimed to reveal the volatility structure and the volatility clustering dates of the index over the daily closing values of the Participation-50 Index between 09.07.2014 and 31.12.2021. The symmetric-asymmetric states of the Participation-50 Index were tested with ARCH, GARCH, IGARCH, TGARCH and EGARCH models. As a result of the analysis, it was seen that the model that best predicts the volatility of the Participation-50 Index is the ARCH 3 model. In the Participation 50 Index, it has been determined that the volatility in the current period is affected by 0.11 units by shocks one period ago, by 0.15 units by shocks two periods ago and by 0.14 units by shocks three periods ago. In addition, the volatility clusters in the Participation-50 Index can be found on 20072016, 13072018, 01042019, 17032020, 11082020, 01022021, 25032021 and It was determined that it took place on 22122021.

 Çalışmada, Katılım-50 Endeksinin 09.07.2014 ile 31.12.2021 tarihleri arasındaki günlük kapanış değerleri üzerinden volatilite yapısı ve endekse ait volatilite kümelenme tarihlerinin ortaya çıkarılması amaçlanmıştır. Katılım-50 Endeksinin simetrik-asimetrik durumları ARCH, GARCH, IGARCH, TGARCH ve EGARCH modelleri ile sınanmıştır. Yapılan analiz sonucunda Katılım-50 Endeksinin volatilitesini en iyi tahmin eden modelin ARCH 3 modeli olduğu görülmüştür. Katılım 50 Endeksinde cari dönemdeki volatiliteyi bir dönem önceki şokların 0.11 birim, iki dönem önceki şokların 0.15 birim ve üç dönem önceki şokların 0.14 birim etkilediği tespit edilmiştir. Ayrıca Katılım-50 Endeksindeki volatilite kümelenmelerinin de 20072016, 13072018, 01042019, 17032020, 11082020, 01022021, 25032021 ve 22122021 tarihlerinde gerçekleştiği belirlenmiştir.

Makale detayları

VOLATILITY MODELING OF THE PARTICIPATION-50 INDEX WITH CONDITIONAL VARIANCE MODELS

Yazarlar:

Metin Seyhan

Yayıncı:

Van Yuzuncu Yıl University

Ana Başlıklar:

Finans

Dergi:

Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 15, pp.94-114

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001295392

pISSN:

2651-3943

Participation-50 Index

Volatility

Volatility Structure

ARCH/GARCH ModelsKatılım-50 Endeksi

Volatilite

Volatilite Yapısı

ARCH/GARCH Modelleri

Sayı

Makale detayları

Yazarlar: Metin Seyhan

Yayıncı: Van Yuzuncu Yıl University

Ana Başlıklar: Finans

Dergi: Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 15, pp.94-114

Belge Tipi: Makale

Yayın Tarihi: 6/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001295392

pISSN: 2651-3943

Sayı

Yazarlar:

Metin Seyhan

Yayıncı:

Van Yuzuncu Yıl University

Ana Başlıklar:

Finans

Dergi:

Van Yüzüncü Yıl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 15, pp.94-114

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001295392

pISSN:

2651-3943