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VARYANS KIRILMASI GÖZLEMLENEN SERİLERDE GARCH MODELLERİ: DÖVİZ KURU OYNAKLIĞI ÖRNEĞİ

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

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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.
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