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GARCH modellerinin performanslarının değerlendirilmesinde riske maruz değer (value-at-risk, VaR) yöntemi: İMKB100, Mali, Sınai ve Hizmet endeksleri üzerine bir uygulama

Author

Listed:
  • Önder BÜBERKÖKÜ

    (ÇUKUROVA ÜNİVERSİTESİ)

Abstract

Bu çalışmada İMKB100, Mali, Sınai ve Hizmet endeksleri için GARCH(p,q),GJRGRCH(p,q) ve EGARCH(p,q) modelleri kullanılarak en uygun GARCH tipi model riske maruz değer yöntemi ile araştırılmıştır. Çalışma bulgularına göre seçilen güven düzeyi model sonuçlarını etkilemektedir. Bu kapsamda %99 güven düzeyinde İMKB100 ve Mali endeks için GARCH(1,1) ,Sınai endeks için GJR-GARCH(1,1,1), Hizmet endeksi içinse GJR-GARCH(2,1,1) modelleri en uygun modeller iken ; %95 güven düzeyinde İMKB100 ve Mali endeks için GJRGARCH(1,1,1), Hizmet endeksi içinse EGARCH(1,1,2) modelleri en uygun modeller olmaktadır. Ayrıca, her koşulda öne çıkan tek bir model olmamakla birlikte GARCH ve GJR-GARCH modellerinin EGARCH modelinden daha iyi bir performans sergilediği belirlenmiştir.

Suggested Citation

  • Önder BÜBERKÖKÜ, 2013. "GARCH modellerinin performanslarının değerlendirilmesinde riske maruz değer (value-at-risk, VaR) yöntemi: İMKB100, Mali, Sınai ve Hizmet endeksleri üzerine bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 28(330), pages 81-104.
    • Handle: RePEc:iif:iifjrn:v:28:y:2013:i:330:p:81-104
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    More about this item

    Keywords

    GARCH Modelleri; Riske Maruz Değer; Hisse Senedi Endeksi;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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