Browsing by Subject "GARCH"
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Item Open Access Avrupa Birliği kararlarının IMKB'deki hisse senetlerinin getiri oranları üzerine etkileri(AÜ Siyasal Bilgiler Fakültesi, 2006) Yüksel, S. Aydın; Akmut, Ö.; Yüksel, A.Türkiye'nin Avrupa Birliği ile ilişkileri özellikle Gümrük Birliği Anlaşması'ndan sonra yoğunluk kazanmıştır. 1990'lı yılların ikinci yarısından günümüze kadar geçen zamanda Türkiye ile ilgili çok sayıda Avrupa Komisyonu tavsiyesi ve Avrupa Konseyi ve Parlementosu kararı alınmıştır. Bu çalışma hisse senetleri piyasasının etkin olduğu varsayımından yola çıkarak Ocak 1997-Aralık 2002 döneminde Avrupa Birliği'nde Türkiye ile ilgili açıklanan tavsiye ve kararların istanbul Menkul Kıymetler Borsası'nda işlem gören hisse senetlerinin getiri oranlan üzerindeki etkilerini test etmektedir. Analizde ülke gündeminde hisse senedi getiri oranlannı etkileyebilecek başka bir olayın olmadığı günlerde alınan kararlar tespit edilip, çıkarımlar yapılırken bu kararlara verilen tepkiler baz alınmıştır. Test sonuçlan Avrupa Birliği'nde Türkiye ile ilgili alman kararlara beklenilen doğrultuda anlamlı tepkiler verildiği hipotezine sınırlı destek vermektedir. Bu tepkilerde genellikle sektöre bağlı bir farklılık tespit edilememiştir.Item Open Access The day of the week effect on stock market volatility and volume: international evidence(John Wiley & Sons Ltd., 2003) Kiymaz, H.; Berument, HakanThis study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility. © 2003 Published by Elsevier Inc.Item Open Access Effects of adopting inflation targeting regimes on inflation variability(Elsevier BV, 2007) Berument, Hakan; Yuksel, E.This paper investigates whether inflation-targeting programs have altered the pattern of inflation and its variability for five developed countries and four emerging economies implementing inflation-targeting programs. A GARCH specification is used to model inflation variability, which accounts for public perception of the future levels of inflation variability-conditional variance. We could not find lower conditional inflation expectations except for Australia, Chile and Sweden under various specifications. Moreover, the conditional variance decreases only for Chile and the UK. Therefore, the empirical support for the lower inflation and its variability for the inflation targeting regimes is limited. © 2006 Elsevier B.V. All rights reserved.Item Open Access The effects of different inflation risk premiums on interest rate spreads(Elsevier BV, 2004) Berument, Hakan; Kilinc, Z.; Ozlale, U.This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty - structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty - are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural and steady-state inflation uncertainties increase interest rate spreads, while the empirical evidence for the impulse uncertainty is not conclusive. © 2003 Elsevier B.V. All rights reserved.Item Open Access Effects of macroeconomic dynamics on stuck returns: case of Turkish stock exchange market(Statistical Economic and Social Research and Training Centre for Islamic Countries, 2005) Erdoğan, E.; Özlale, Ü.This study analyses the effects of macroeconomic dynamics on the Turkish Stock Exchange Markets by using a time varying parameter model with GARCH specification.Item Open Access Exchange rate risk and interest rate: a case study for Turkey(Springer New York LLC, 2003) Berument, Hakan; Günay, A.This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the exchange rate risk is measured with the conditional variance of the exchange rate, then we found that there is a positive relation between the exchange rate risk and interest rate with the data from December 1986 to January 2001.Item Open Access Formal GARCH performance in a computable dynamic general equilibrium framework(Bilkent University, 1998) Yiğitbaşıoğlu, Ali BoraThis study uses a Computable Dynamic General Equilibrium setting based on Brock’s (1979, 1982) intertemporal growth and asset pricing models and applies this framework as a formal test to study the out-of-sample forecast performance of Bollerslev’s (1986) GARCH (1,1) Classical Historical Volatility forecasts. The solution to Brock’s growth model reflects the utility maximizing behavior of the consumer and profit maximizing behavior of producers, and is a framework that has recorded some remarkable successes in mirroring the real economy. All existing studies have used a sample realized variance in the forecast horizon to test the out-of- sample performance of conditional variance forecasting models. The realized variance is simply an approximation to the true distribution of variance in the forecast horizon, and is often an unfair benchmark of performance. Simulation of Brock’s model enables one to obtain the true distribution of asset returns and their variance at all times. The true distribution reflects all the possible states of a simulated economy, which is shown to mimic all the properties observed in empirical financial data. This framework affords the luxury of comparing the out-of-sample forecasts from various models with the true variance in the forecast horizon. The results jointly demonstrate that the GARCH (1,1) model performs significantly better than the Classical Historical Volatility when the true variance is used as the forecast comparison benchmark. It is concluded that the use of realized variance for out-of-sample performance is highly misleading, especially for short-run forecasts.Item Open Access GARCH models and an application to stock return volatility with the effect of daily trading volume in Istanbul Securities Exchange(Bilkent University, 1995) Ünal, ATolgaIn this study, the effect of daily trading volume on stock return volatility is analyzed using the data from Istanbul Securities Exchange (ISE). Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process is employed to model the persistence in volatility of daily returns and to capture the relation between daily price increments and the trading volume. Results approve the consistency of GARCH process in modeling stock returns and indicate positive relation between the volatility of daily returns and trading volume. Also, a reduction of persistence in volatility is observed with the inclusion of trading volume in the model.Item Open Access The performance of the istanbul stock exchange during the Russian crisis(Routledge, 2002) Yüksel, A.This paper uses a unique data set to examine the possibility of a structural change in contemporaneous volume-return relation on the Istanbul Stock Exchange (ISE) during the Russian crisis in 1998. The comparison of the relationship during the crisis period to those during pre- and post-crisis periods shows that there was a structural change regarding the price impact of trading volume. The evidence indicates that traders needed to give considerably larger price concessions during the crisis period. The structural change was transitory since the cost of getting liquidity is shown to fall back during the post-crisis period. This study also provides the first evidence on univariate and joint characteristics of fifteen-minute common stock trading volume and returns on the ISE. Both average volume and return show significant univariate intraday variations, and there exists a positive contemporaneous relation between these variables. Moreover, there is weak evidence that in a GARCH setting volume has an impact on conditional return volatility.Item Open Access The relationship between implied volatility and cryptocurrency returns(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Lucey, B.; Şensoy, Ahmet; Yarovaya, L.We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.Item Open Access Three essays on monetary policy modeling : applications of inflation targeting(Bilkent University, 2008) Yüksel, EbruThis dissertation is made up of three essays on modeling monetary policy in a New Keynesian framework. The first essay presents an overview of the evolution of New Keynesian view. Since most of the studies in monetary policy literature employ New Keynesian models due to their power in accounting for price rigidities, microeconomic foundations and various monetary policy rules; such a survey improves our understanding of the type of theoretical and empirical research that has so far been conducted to analyze monetary policy within a New Keynesian framework. This first essay also gives a detailed derivation of structural relationships developed from microfoundations. The second essay examines the behavior of Taylor-type monetary policy rule by introducing interest rate pass-through in a New Keynesian setting with backward looking components. A simulation is performed to analyze the behavior of policy instrument and pass-through relationship under inflation targeting. The main contribution of this essay is the introduction of interest rate pass-through into a New Keynesian structural model for the first time. Besides, as differently from the previous literature, the structural model allows for time-varying parameters (TVP) not only for the parameters of the monetary policy rule but also for the coefficients of the interest rate passthrough and other dynamics of the system. This is a salient feature of the analysis here, since previous studies in this field typically allow for variation over time of parameters of the monetary policy rule alone. However, having TVP specification for all parameters of the model provides the flexibility of examining the impact of policy changes over the monetary policy rule, interest rate pass-through and other dynamics of the system. The last important aspect of the second essay is the use of Extended Kalman Filter (EKF) as the estimation technique. That EKF is not widely employed for estimating nonlinear systems in this field makes this study significant in demonstrating the strength of EKF in predicting TVP models. The results of the simulations carried out within this essay revealed that long-term interest rate and interest rate pass-through specification are essential ingredients to be included in monetary policy analysis. The last essay investigates whether inflation targeting programs have altered the pattern of inflation and its variability for five developed countries and four emerging economies implementing inflation targeting programs. A generalized autoregressive conditional heteroscedasticity (GARCH) specification is used to model inflation variability, which accounts for public perception of the future levels of inflation variability − conditional variance. We found that implementation of inflation targeting program has changed the public perception towards inflation only in Australia, Chile, Sweden and the UK, indicating limited empirical support for the lower inflation and its variability for the inflation targeting regimes.Item Open Access Two essays on the link between inflation uncertainty and interest rates and effect of foreign income on economic performance of a small-open economy(Bilkent University, 2005) Kılınç, ZübeyirThis study includes two studies on the relationship between inflation uncertainty and interest rates and examines the effects of foreign income on economic performance of a small open economy. In the literature, there is no consensus about the direction of the effects of inflation uncertainty on interest rates. The second chapter of this study states that such a result may stem from differentiation in the sources of the uncertainties and analyzes the effects of different types of inflation uncertainty on a set of interest rates for the UK within interest rate rule framework. Three types of inflation uncertainties – impulse uncertainty, structural uncertainty and steady-state uncertainty – are derived by using a time-varying parameter model with a Generalized Autoregressive Conditional Heteroskedasticity specification. It is shown that the impulse uncertainty is positively and the structural uncertainty is negatively correlated with the interest rates. Moreover, these two uncertainties are important to explain shortterm interest rates for the period of inflation targeting era. However, this time, the impulse uncertainty is negatively and the structural uncertainty is positively correlated with the overnight interbank interest rates, which is consistent with the general characteristic of the inflation targeting regimes. The evidence concerning the effect of the steady state inflation uncertainty on interest rates is not conclusive. The third chapter uses the same methodology of the second chapter and calculates the effects of those three types of inflation uncertainties on interest rate spreads. It is found that both the structural and steady-state inflation uncertainties increase interest rate spreads, while the empirical evidence for the impulse uncertainty is not conclusive. Finally, the last chapter examines how the changes in a large foreign economy affect the economic performance of a small country. It finds the values of effects by calculating impulse response functions of the domestic economy and confidence intervals for those functions. Turkey is chosen as the domestic economy and Germany, the US, and the industrial countries are used as proxies for the large economy. The results state that a positive shock in the foreign economy positively affects domestic economy, increases the inflation rates, and appreciates the real exchange rate.