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IMKB Zaman Serisinin Box Jenkins Yaklaşımı İle Tahmini

Author

Listed:
  • İhsan YÜKSEL

    (Harp Okulu)

  • Ramazan AKTAŞ

    (Gaziosmanpaşa Üniversitesi)

Abstract

Bu çalışmada, Box-Jenkins tekniği kullanılarak günlük, haftalık ve aylık IMKB Endeks değerlerini tahmin eden modeller geliştirilmiştir. Geliştirilen modellerin hepsinin tahmin doğruluğu açısından gösterdiği performans, Box-Jenkins tekniğinin bu zaman serileri için kullanılabileceğini ortaya koymuştur. Bu modeller içerisinde günlük seri için geliştirilmiş olanın, diğerlerine kıyasla daha az hatalı tahmin yaptığı ortaya çıkmıştır. Bu analiz, İMKB Endeksi açısından iç tutarlılığın günlük bazda maksimuma eriştiğini ve haftalık ve aylık değerlerde ise veriler arasındaki otokorelasyonun azalmaya yüz tuttuğunu ortaya koymuştur.

Suggested Citation

  • İhsan YÜKSEL & Ramazan AKTAŞ, 1997. "IMKB Zaman Serisinin Box Jenkins Yaklaşımı İle Tahmini," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 12(130), pages 14-27.
    • Handle: RePEc:iif:iifjrn:v:12:y:1997:i:130:p:14-27
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