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Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi

Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective

Journal Name:

  • Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2010

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In this study, volatility of the TRL/USD, TRL/EUR and TRL/GBP series in the Turkish exchange rate market are modeled by employing moving average, AR, ARMA models and ARCH process and the performances of the models are compared according to their out-of-sample forecasts. The forecasting performance of the Value-at-Risk measurement based on different volatility forecasting models are investigated by adopting the Basle Committee back testing criteria. The effect of the latest global financial crisis on the risk measurement techniques is investigated. The results showed that, according to RMSE criteria GARCH family models and according to MAE criteria AR models are superior to other models in estimating the exchange rate volatility. It is observed that the financial crisis does not too much effect on the order of the volatility forecasting models; however, the performances of the models converge to the worst performing model during the financial crisis period. When the Value-at-Risk performances of the underlying models are compared EWMA and GARCH family models are found to be more accurate than other models. It is seen that the performances of the models are worsen with the financial crisis.
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Abstract (Original Language): 
Bu çalışmada, Türkiye döviz piyasalarında TRL/USD, TRL/EUR ve TRL/GBP serilerinin oynaklığı hareketli ortalama modelleri, AR ve ARMA modelleri ve ARCH süreçleri kullanılarak modellenmiş ve modellerin örneklem dışı öngörü performansları karşılaştırılmıştır. Farklı oynaklık öngörüleri kullanılarak elde edilen parametrik VaR modelinin öngörü performansları Basle Komitesi geriye dönük test ölçütleri kapsamında değerlendirilmiştir. Son küresel finansal krizin risk ölçüm teknikleri üzerindeki etkileri ayrıca araştırılmıştır. Elde edilen sonuçlar, RMSE ölçütüne göre GARCH grubu modellerin, MAE ölçütüne göre ise AR modelinin serilerinin oynaklık öngörüsünü modellemekte diğer modellere kıyasla daha başarılı olduğunu göstermiştir. Finansal krizin oynaklık öngörü modellerinin sıralamasını değiştirmediği ancak finansal krizle birlikte modellerin performanslarının en kötü performansı sergileyen modele yakınsadığı görülmüştür. Oynaklık öngörü modellerine dayalı olarak tahmin edilen VaR modellerinin performansları karşılaştırıldığında ise EWMA ve GARCH grubu modellerin daha doğru sonuçlar verdikleri görülmüştür. Finansal krizile birlikte VaR modellerinin performansında düşüş olduğu tespit edilmiştir
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