Amerikan Doları/Türk Lirası döviz kuru volatilitesinin modellenmesi: 2001-2019 dönemi
No Thumbnail Available
Date
2019
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
İstanbul Ticaret Üniversitesi
Access Rights
info:eu-repo/semantics/openAccess
Abstract
Bir risk ölçütü olan volatilite kavramı döviz piyasası için oldukça önem arz etmektedir. Son yıllarda Türk Lirasının yabancı para birimleri karşısında oynaklığı artmış, özellikle 2018 yılının ikinci yarısından itibaren yaşanan politik problemler TL?nin ABD Doları karşısında büyük oranda değer yitirmesine neden olmuştur. Yaşanan gelişmeler, döviz kuru üzerine daha geniş bir dönemi kapsayan yeni çalışmaların yapılmasını da gündeme getirmiştir. 01.06.2001-01.06.2018 ve 01.06.2001-30.04.2019 dönemlerini günlük veriler ile inceleyen çalışmada, otoregresif koşullu değişen varyans (ARCH) modelleri kullanılmıştır. Çalışmada, her iki seri içinde ABD Doları/TL kurunun volatilitesini en iyi tanımlayan modelin TARCH (1,1) modeli olduğu sonucuna ulaşılmıştır. Anahtar Kelimeler: Volatilite, Dolar Alış Kuru, Döviz Kuru, ARCH, GARCH, TARCH
The concept of "volatility" as a risk criterion, is very important for the foreign exchange market. In recent years, the volatility of the Turkish Lira against foreign currencies has increased, and the political problems experienced especially since the second half of 2018 have caused a significant depreciation of TL against US Dollar. Developments have also brought to the agenda new studies on exchange rates covering a wider period. In the study, which examined the periods of 01.06.200101.06.2018 and 01.06.2001-30.04.2019 with daily data, Autoregressive Conditional Heteroskedasticity (ARCH) models were used. In this study, it is concluded that the model describes best the volatility of the USD / TL exchange rate for both series is the TARCH (1,1) model. Keywords: Volatility, Dollar Buying Rate, Exchange Rate, ARCH, GARCH, TARCH
The concept of "volatility" as a risk criterion, is very important for the foreign exchange market. In recent years, the volatility of the Turkish Lira against foreign currencies has increased, and the political problems experienced especially since the second half of 2018 have caused a significant depreciation of TL against US Dollar. Developments have also brought to the agenda new studies on exchange rates covering a wider period. In the study, which examined the periods of 01.06.200101.06.2018 and 01.06.2001-30.04.2019 with daily data, Autoregressive Conditional Heteroskedasticity (ARCH) models were used. In this study, it is concluded that the model describes best the volatility of the USD / TL exchange rate for both series is the TARCH (1,1) model. Keywords: Volatility, Dollar Buying Rate, Exchange Rate, ARCH, GARCH, TARCH
Description
Finans Enstitüsü, Sermaye Piyasası Ana Bilim Dalı
Keywords
Maliye, Finance, İşletme
