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Türkiye’de döviz kuru oynaklığının uzun hafiza özelliklerinin analizi

Author

Listed:
  • Serpil TÜRKYILMAZ

    (Anadolu Üniversitesi)

  • Mustafa ÖZER

    (Anadolu Üniversitesi)

Abstract

Bu çalışmanın amacı, döviz kurunun ortalama ve oynaklığındaki (volatilitesindeki) uzun hafıza özelliklerini incelemektir. Çalışma, 01.01.2002 - 30.11.2005 dönemi için döviz kuru günlük getirileri kullanılarak kesirli ARIMA (ARFIMA) ve kesirli bütünleşik GARCH (FIGARCH) modelleri ile döviz kuru getiri serisinde kesirli dinamiklerin-uzun hafızanın varlığı test edilerek yürütülmüştür. AR(1)-FIGARCH(1,-d,0) modellerinin tahmin sonuçları, döviz kuru günlük getirilerinin oynaklığının uzun hafıza özellikleri ile kesirli dinamikler sergilediğinin bir kanıtını sağlamaktadır.

Suggested Citation

  • Serpil TÜRKYILMAZ & Mustafa ÖZER, 2007. "Türkiye’de döviz kuru oynaklığının uzun hafiza özelliklerinin analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 22(259), pages 99-113.
    • Handle: RePEc:iif:iifjrn:v:22:y:2007:i:259:p:99-113
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    More about this item

    Keywords

    arfıma-fıgarch modeli; kesirli bütünleşme; oynaklık; uzun dönem bağımlılık; uzun hafıza; döviz kuru;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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