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Döviz kuru volatilitesi modelleri: Türkiye uygulaması

Author

Listed:
  • Timur Han GÜR

    (Hacettepe Üniversitesi)

  • Hasan Murat ERTUĞRUL

    (Hacettepe Üniversitesi)

Abstract

Bu çalışma, Türkiye’de döviz kuru volatilitesini literatürde yaygın olarak kullanılan ARCH, GARCH ve SWARCH modelleri çerçevesinde Temmuz 2001-Mayıs 2010 dönemine ait günlük veri seti ile modellemektedir. Çalışmanın ortaya çıkardığı sonuç, SWARCH modelinin gerek model seçim kriterleri olan AIC ve SC bilgi kriterlerine göre, gerekse 1, 4, 8, 15 ve 30 gün dönem sonrası için öngörü performansı karşılaştırmasına göre en başarılı volatilite tahmin modeli olduğudur. SWARCH modeli kullanılarak elde edilen volatilite serisinin gösterdiği yüksek volatilite dönemleri Türkiye’de ciddi kur hareketlerinin yaşandığı dönemlere denk gelmektedir. Model ayrıca küresel ekonomik kriz sonucu oluşan 2008 yılındaki volatilite dönemini de zamanında yakalamaktadır. Sonuç olarak bu çalışma, SWARCH modelinin ekonometrik olarak karşılaştırılan ARCH ve GARCH modellerine göre öngörü performansının çok daha başarılı olduğunu göstermekte, makroekonometrik tahminleri yapan ve bu tahminler çerçevesinde ileriye dönük makroekonomik hedefleri oluşturan politika yapıcıları için diğer modellere kıyasla daha üstün modelleme yöntemi olduğunu kanıtlamaktadır.

Suggested Citation

  • Timur Han GÜR & Hasan Murat ERTUĞRUL, 2012. "Döviz kuru volatilitesi modelleri: Türkiye uygulaması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(310), pages 53-77.
    • Handle: RePEc:iif:iifjrn:v:27:y:2012:i:310:p:53-77
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    Citations

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    Cited by:

    1. Pinar Karahan & Nilgun Caglairmak Uslu, 2016. "Kredi Hacmi Ile Cari Acik Arasindaki Iliski: Turkiye Icin Dinamik Bir Analiz," EconWorld Working Papers 16007, WERI-World Economic Research Institute, revised Oct 2016.
    2. Asteriou, Dimitrios & Masatci, Kaan & Pılbeam, Keith, 2016. "Exchange rate volatility and international trade: International evidence from the MINT countries," Economic Modelling, Elsevier, vol. 58(C), pages 133-140.
    3. P. Fulya Gebeşoğlu & Hasan Murat Ertuğrul, 2014. "GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 3(2), pages 51-66, May.
    4. Hasan Murat Ertugrul & Huseyin Ozturk, 2013. "The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S5), pages 228-249, November.

    More about this item

    Keywords

    Döviz Kuru Volatilitesi; ARCH; GARCH; Markov-Dönüşümlü;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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