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Döviz Kuru Getiri Volatilitesinin Koşullu Değişen Varyans Modelleri İle Öngörüsü

Journal Name:

  • İstanbul Üniversitesi İktisat Fakültesi Mecmuası

Publication Year:

  • 2009

Key Words:

Keywords (Original Language):

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Abstract (2. Language): 
This paper compares the forecasting performance of symmetric and asymmetric conditional volatility models of exchange rate returns of OECD countries. The results show that the forecasting performances of asymmetric conditional models are better than symmetric conditional models for most of the countries. We found that the distribution of exchange rate returns are characterized by excess kurtosis and fat tails. We also found some evidence of out-of sample forecasting that the volatility of returns will be impacted differently (increase or decrease) while the returns increasing for each country.
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Abstract (Original Language): 
Bu çalışma OECD ülkelerine ait döviz kuru getirilerinin volatilitesinin modellenmesinde ve öngörüsünde kullanılan simetrik ve asimetrik koşullu değişen varyans modellerinin öngörü performanslarını karsılaştırmaktadır. Çalışmanın sonuçları çoğu ülke için asimetrik koşullu değişen varyans modellerinin simetrik koşullu değişen varyans modellerinden daha iyi olduğunu göstermektedir. Ayrıca döviz kuru getirilerinin dağılımlarının çoğunun aşırı basık ve kalın kuyruğa sahip olduğu bulunmuştur. Örnek dışı öngörü sonuçlarına göre döviz kuru getirileri artarken volatilitedeki artış ve azalışların ülkelere göre farklı olduğuna dair kanıtlar elde edilmiştir.
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  • Turkish

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Döviz Kuru Getiri Volatilitesinin Kosullu Değisen Varyans Modelleri ile Öngörüsü
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