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DCC-GARCH ile Altında Spot Fiyat, Vadeli Fiyat ve Risk Iliskisi

Author

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  • Ethem Kılıç

    (Bingöl University)

Abstract

Çalısmanın temel amacı altının ölçülebilen risk algısının altın fiyatları üzerindeki volatilite yayılım etkisi arastırmaktır. Bu kapsamda çalısmada altın risk, altın spot ve altın vadeli endeksleri kullanılmıstır. Çalısmada 16.03.2011–03.09.2021 dönemine ait veriler kullanılarak altının risk faktörünün altın fiyatları üzerindeki volatilite yayılımı çok değiskneli (Dynamic Conditional Correlations) DCC-GARCH modeli yardımıyla incelenmistir. DCC-GARCH modeli finansal varlıkların volatilitesi hakkında bilgi verdigi gibi finansal varlıklar arasındaki volatilite etkilesimini açıklamasından dolayı güçlü bir modeldir. Yapılan analizler sonucunda altın risk, altın spot ve altın vadeli degiskenlerinin volatilitesinin kalıcı oldugu tespit edilmistir. Altın riskten, altın spot ve altın vadeliye dogru tek yönlü volatilite etkilesimi bulunmaktadır. Ayrıca altın spot ile altın vadeli arasında karsılıklı volatilite yayılımı gerçeklestigi tespit edilmistir. Elde edilen sonuçlarına göre altın riskinin altın spot ve altın vadeli islem piyasalarının getirileri üzerinde etkili oldugu tespit edilmistir. Çalısmada elde edilen bir diger sonuç ise altın spot ve altın vadeli islem piyasalarının getirilerinin birbirleri ile entegre oldugu saptanmıstır.

Suggested Citation

  • Ethem Kılıç, 2021. "DCC-GARCH ile Altında Spot Fiyat, Vadeli Fiyat ve Risk Iliskisi," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 5(SpecialIs), pages 55-68, December.
    • Handle: RePEc:bgo:journl:v:5:y:2021:i:specialissue:p:55-68repec/bgo/
    DOI: https://doi.org/10.33399/biibfad.1029311
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    More about this item

    Keywords

    Risk; altın fiyatı; altın vadeli; altın spot; DCC-GARCH;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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