You are here

VARYANS KIRILMASI GÖZLEMLENEN SERİLERDE GARCH MODELLERİ: DÖVİZ KURU OYNAKLIĞI ÖRNEĞİ

GARCH MODELLING OF SERIESWITH A VARIANCE BREAK: EXCHANGE RATE VOLATILITY CASE

Journal Name:

Publication Year:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
GARCH model and its variations have been quite useful for measuring time series volatility. However; it’s found that volatility estimated by GARCH models will be an overestimated one if there is one or more break in the variance of series. In this study; breaks in exchange rate volatility are detected by using ICSS algorithm which was developed by Inclan and Tiao (1994). After detecting multiple breaks in variance, dummy variables are introduced to the variance equation of GARCH(1,1) model to account for the sudden changes in variance. We examined daily $/TL exchange rate series and found that volatility persistence has considerably dwindled in new GARCH(1,1) model, with eight dummy variables.
Abstract (Original Language): 
Zaman serilerindeki oynaklığın ölçülmesinde GARCH modeli ve çeşitli varyasyonları oldukça faydalı olmuştur. Fakat serinin varyansında bir ya da daha fazla sayıda kırılma olduğunda bu modeller ile ölçülen oynaklığın olduğundan yüksek çıktığı bulunmuştur. Bu çalışmada döviz kuru oynaklığındaki kırılmalar Inclan ve Tiao’nun (1994) ICSS (Iterative Cumulative Sum of Squares) algoritması ile tespit edilmiş, bulunan kırılma noktaları kukla değişkenler olarak GARCH modeline eklenmiş ve kırılmaların dikkate alındığı yeni bir GARCH modeli oluşturulmuştur. Çalışmada günlük dolar getiri serisi kullanılmış, bulunan sekiz kırılma noktası modele dahil edildiğinde oynaklık kalıcılığında önemli bir azalma olmuştur. Bu da yatırımcılara riske karşı alacakları tutum konusunda ışık tutacak önemli bir sonuçtur.
319-337

REFERENCES

References: 

AGGARWAL, Reena; Inclan CARLA ve Leal RİCARDO; (1999), “Volatility
in Emerging Stock Markets”, The Journal of Financial and
Quantitative Analysis, 34(1), ss. 33-55.
ANDERSEN, Torben G. ve Tim BOLLERSLEV; (1998), “Deutsche Mark-
Dollar Volatility: Intraday Activity Patterns, Macroeconomic
Announcements, and Longer Run Dependencies”, The Journal of
Finance, 53(1), ss.219-265.
DİEBOLD, F. X.; (1988), “Empirical Modeling of Exchange Rate Dynamics”
Lecture Notes in Economics and Mathematical Systems, 303. New
York: Springer-Verlag
DUNİS, Chris L.; Jason LAWS ve Stephane CHAUVİN; (2000), “The Use of
Market Data and Model Combination to Improve Forecast Accuracy”,
Working Paper Liverpool Business School
ENDERS, W.; (2004); Applied Econometric Time Series, 2. Edition, John
Willey and Sons, New York
ENGLE, Robert F.; (1982), “Autoregressive Conditional Heteroscedasticity
with Estimates of the Variance of United Kingdom Inflation”,
Econometrica, 50(4), ss. 987-1007.
ENGLE, Robert F.; (2001), “GARCH 101: The Use of ARCH/GARCH Models
in Applied Econometrics”, The Journal of Economic Perspectives,
(15)4, ss.157-168.
ENGLE, Robert F.; (1993), “Statistical Models for Financial Volatility”,
Financial Analyst Journal, 49(1), ss.72-78
ENGLE, R. F., ve T. BOLLERSLEV; (1986), "Modelling the Persistence of
Conditional Variances," Econometrics Review, 5. ss.1-50.
FERNANDEZ, V.; (2005), “Structural Breakpoints in Volatility in International
Markets”, The Institute for International Integration Studies Discussion
Paper Series , No: 76 ss.1-36
FONG, Wai Mun; (1998), “The Dynamics of DM=£ Exchange Rate Volatility:
A SWARCH Analysis”, International Journal of Finance and
Economics (3) ss. 59-71
FRANSES, Philip Hans ve McAleer MİCHAEL; (2002) “Financial Volatility:
An Introduction”, Journal Of Applied Econometrics 17, ss.419-424
GÜLOĞLU, B. ve A. AKMAN; (2007), “Türkiye’de Döviz Kuru Oynaklığının
SWARCH Yöntemi ile Analizi”, Finans Politik & Ekonomik Yorumlar,
44(512), ss.43-51
HSİEH, David A.; (1989), “Modeling Heteroscedasticity in Daily Foreign-
Exchange Rates”, American Statistical Association Journal of
Business & Economic Statistics, 7(3).
INCLAN Carla ve George C. TİAO; (1994), “Use of Cumulative Sums of
Squares for Retrospective Detection of Changes of Variance”, Journal
of the American Statistical Association, 89(427), ss.913-923.
JORİON, Phillip; (1995), “Predicting Volatility in the Foreign Exchange Market”,
Journal of Finance, 50(2), ss.507-528
LAMOUREUX, Christopher G. ve William D. LASTRAPES; (1990),
“Persistence in Variance, Structural Change, and the GARCH Model”,
Journal of Business & Economic Statistics, 8(2), ss.225-234.
MALİK, Farooq; (2003), “Sudden Changes In Variance And Volatility
Persistence In Foreign Exchange Markets”, Journal. of Multinational.
Financial. Management, 13 ss.217-230.
MALİK, F. ve, S. A. HASSAN; (2004), “Modeling Volatility in Sector Index
Returns with GARCH Models Using an Iterated Algorithm”, Journal
of Economics and Finance, 28(2), June, ss.211-225.
MANDELBROT, Benoit; (1963), “The Variation of Certain Speculative
Prices”, The Journal of Business, 36(4), ss.394-419.
MİKOSCH, T. ve A, C. ST˘ARİC˘; (2004) “Non-stationarities in Financial Time
Series, The Long-range Dependence and IGARCH Effects”,
Review. of Economics and Statistics, 86, ss.378–390.
NELSON, Daniel B.; (1991) “Conditional Heteroskedasticity on Asset Returns:
A New Approach”, Econometrica, 59(2), ss. 347-370.
PAGAN, Adrion R. ve SCHWART G. William; (1989), “Alternative Models
for Conditional Stock Volatility”, National Bureau of Economic
Research (NBER) Working Paper Series, 2 955
POON, Ser-Huang ve Clive W. J. GRANGER; (2003), “Forecasting Volatility
in Financial Markets: A Review”, Journal of Economic Literature,
41(2), ss.478-539.
POOTER, M. ve D. DİJK; (2004), “Testing for Changes in Volatility in
Heteroskedastic Time Series- A Further Examination”, Econometric
Institute Report EI 2004-38, ss.1-39.
RAPACH, D. E.; J. K. STRAUSS ve WOHAR M. E.; (2007), “Forecasting
Stock Return Volatility in the Presence of Structural Breaks”,
Forecasting in the Presence of Structural Breaks and Model
Uncertainty (Book Article), ss.1-38.
RAPACH, D. E. ve J. K. STRAUSS;(2008), “Structural Breaks and GARCH
Models of Exchange Rate Volatility”, Journal of Applied
Econometrics,(23), ss.65-90.
YALÇIN,Y.; (2006), İnternet Adresi:www.finansbilim.com/ufs2006/Makaleler/
Stokastıkoynaklık. Pdf

Thank you for copying data from http://www.arastirmax.com