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EURO KURU SATIŞ DEĞERİNDEKİ VOLATİLİTENİN ARCH VE GARCH MODELLERİ İLE TAHMİNİ

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Abstract (2. Language): 
This study is about the application of models which are autoregressive conditional heteroscedasticity (ARCH) developed by Engle (1982) and their extension. First, the theorical structure of non-linear time series models are discussed, then their applications are introduced. In the application part, an ARCH (2) model is estimated which is considered appropriate for Euro exchange rates. The relationship between volatility and Euro exchange rates is then analyzed by the volatility equation. The results point to a negative relationship between volatility and Euro exchange rates.
Abstract (Original Language): 
Bu çalışma, Engîe (¡982) tarafından geliştirilen otoregresif koşullu değişen varyans (ARCH) ve uzantısından oluşan modellerin uygulamasını içermekledir. Çalışmada Öncelikle doğrusal olmayan modellerin teorik yapısı tartışıldıktan sonra uygulamaları yapılmıştır. Uygulama kısmında. Euro kuru satış değerine uygun olduğu düşünülen ARCH(2) modeli tahmin edilmiştir. Daha sonra, volatilité denklemi tahmini kullanılarak, volatilité ve Euro satış değeri arasındaki ilişki analiz edilmiştir. Analiz sonucunda volatilité ile Euro satış değeri arasında ters yönlü bir ilişki bulunmuştur.
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