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Finansal Verilerin ARIMA ve ARCH Modelleriyle Öngörüsü: Türkiye Örneği

Forecasting Financial Data with ARIMA and ARCH Mod-els: The Case of Turkey

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Abstract (2. Language): 
The aim of this study is to predict the stock market, gold, foreign exchange and oil prices with Box-Jenkins and ARCH models. In this direction, weekly datasets are used of BIST100 index, gold and oil prices and exchange rate vari-ables between 01.02.2009-11.25.2016. As a result of the analyses, asymmetric effect is revealed in all variables ex-cept gold prices. Also, the predictions obtained from the ARCH models were found to be close to zero in the theil statistics.
Abstract (Original Language): 
Bu çalışmanın amacı borsa, altın, döviz ve petrol fiyatları-nın Box-Jenkins modelleri ve ARCH modelleri ile öngörül-mesidir. Bu doğrultuda çalışmada BIST100 endeksi, altın ve petrol fiyatları ile döviz kuru değişkenlerine ait 01.02.2009-11.25.2016 tarihleri arasında yer alan haftalık veri setleri kullanılmıştır. Yapılan analizler sonucunda al-tın fiyatları haricindeki tüm değişkenlerde asimetrik etki-nin varlığı ortaya koyulmuştur. Ayrıca ARCH modellerin-den elde edilen öngörülerin theil istatistiklerinin sıfıra ol-dukça yakın olduğu bulunmuştur.
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