Volatility modelling for Euro in Turkey
Yükleniyor...
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
EJBSS
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
A series is formed by taking the logarithm of Euro exchange rate return between January 3, 2000 and December 12, 2014 so as to analyze the volatility structure of Euro exchange rate return in Turkey. Initially, the series is observed to be a stationary one, and optimal autoregressive moving average model is estimated. Later, it has been revealed that the residuals of the mean equation implicate ARCH effect. In addition, heteroscedastic variance model with four different conditions / assumptions has been estimated. It has been proven that ARCH effect is eliminated in these models estimated and no autocorrelation exists in error terms, either. As a result, it has been revealed that among these models the optimal conditional heteroskedasticity model is the TGARCH
Açıklama
Anahtar Kelimeler
Euro, Volatility, Heteroskedasticity
Kaynak
European Journal of Business and Social Sciences
WoS Q Değeri
Scopus Q Değeri
Cilt
3
Sayı
10
