Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective)
In this study, volatility of the TRL/USD, TRL/EUR and TRL/GBP series in the Turkish exchange rate market are modeled by employing moving average, AR, ARMA models and ARCH process and the performances of the models are compared according to their out-of-sample forecasts. The forecasting performance o...
| Main Authors: | , |
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| Format: | Article |
| Language: | deu |
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Celal Bayar University
2010-01-01
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| Series: | Yönetim ve Ekonomi |
| Subjects: | |
| Online Access: | http://www2.bayar.edu.tr/yonetimekonomi/dergi/pdf/C17S12010/121_146.pdf |
| _version_ | 1797923097669533696 |
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| author | Uğur SOYTAŞ Özlem Serpil ÜNAL |
| author_facet | Uğur SOYTAŞ Özlem Serpil ÜNAL |
| author_sort | Uğur SOYTAŞ |
| collection | DOAJ |
| description | In this study, volatility of the TRL/USD, TRL/EUR and TRL/GBP series in the Turkish exchange rate market are modeled by employing moving average, AR, ARMA models and ARCH process and the performances of the models are compared according to their out-of-sample forecasts. The forecasting performance of the Value-at-Risk measurement based on different volatility forecasting models are investigated by adopting the Basle Committee back testing criteria. The effect of the latest global financial crisis on the risk measurement techniques is investigated. The results showed that, according to RMSE criteria GARCH family models and according to MAE criteria AR models are superior to other models in estimating the exchange rate volatility. It is observed that the financial crisis does not too much effect on the order of the volatility forecasting models; however, the performances of the models converge to the worst performing model during the financial crisis period. When the Value-at-Risk performances of the underlying models are compared EWMA and GARCH family models are found to be more accurate than other models. It is seen that the performances of the models are worsen with the financial crisis. |
| first_indexed | 2024-04-10T14:41:46Z |
| format | Article |
| id | doaj.art-9e6eeaca3cc94d518a180d9acea1705c |
| institution | Directory Open Access Journal |
| issn | 1302-0064 |
| language | deu |
| last_indexed | 2024-04-10T14:41:46Z |
| publishDate | 2010-01-01 |
| publisher | Celal Bayar University |
| record_format | Article |
| series | Yönetim ve Ekonomi |
| spelling | doaj.art-9e6eeaca3cc94d518a180d9acea1705c2023-02-15T16:08:09ZdeuCelal Bayar UniversityYönetim ve Ekonomi1302-00642010-01-01171121145Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective)Uğur SOYTAŞÖzlem Serpil ÜNALIn this study, volatility of the TRL/USD, TRL/EUR and TRL/GBP series in the Turkish exchange rate market are modeled by employing moving average, AR, ARMA models and ARCH process and the performances of the models are compared according to their out-of-sample forecasts. The forecasting performance of the Value-at-Risk measurement based on different volatility forecasting models are investigated by adopting the Basle Committee back testing criteria. The effect of the latest global financial crisis on the risk measurement techniques is investigated. The results showed that, according to RMSE criteria GARCH family models and according to MAE criteria AR models are superior to other models in estimating the exchange rate volatility. It is observed that the financial crisis does not too much effect on the order of the volatility forecasting models; however, the performances of the models converge to the worst performing model during the financial crisis period. When the Value-at-Risk performances of the underlying models are compared EWMA and GARCH family models are found to be more accurate than other models. It is seen that the performances of the models are worsen with the financial crisis.http://www2.bayar.edu.tr/yonetimekonomi/dergi/pdf/C17S12010/121_146.pdfDöviz Kuru Oynaklık ÖngörüsüTürkiye Döviz PiyasalarıGARCH/EGARCH/GJR-GARCH ModelleriValue-at-RiskExchange Rate Volatility ForecastingTurkish Foreign Exchange MarketGARCH/EGARCH/GJR-GARCH ModelsValue-at-Risk |
| spellingShingle | Uğur SOYTAŞ Özlem Serpil ÜNAL Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective) Yönetim ve Ekonomi Döviz Kuru Oynaklık Öngörüsü Türkiye Döviz Piyasaları GARCH/EGARCH/GJR-GARCH Modelleri Value-at-Risk Exchange Rate Volatility Forecasting Turkish Foreign Exchange Market GARCH/EGARCH/GJR-GARCH Models Value-at-Risk |
| title | Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective) |
| title_full | Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective) |
| title_fullStr | Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective) |
| title_full_unstemmed | Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective) |
| title_short | Türkiye Döviz Piyasalarında Oynaklığın Öngörülmesi ve Risk Yönetimi Kapsamında Değerlendirilmesi(Forecasting the Volatility in Turkish Exchange Markets and an Evaluation from a Risk Management Perspective) |
| title_sort | turkiye doviz piyasalarinda oynakligin ongorulmesi ve risk yonetimi kapsaminda degerlendirilmesi forecasting the volatility in turkish exchange markets and an evaluation from a risk management perspective |
| topic | Döviz Kuru Oynaklık Öngörüsü Türkiye Döviz Piyasaları GARCH/EGARCH/GJR-GARCH Modelleri Value-at-Risk Exchange Rate Volatility Forecasting Turkish Foreign Exchange Market GARCH/EGARCH/GJR-GARCH Models Value-at-Risk |
| url | http://www2.bayar.edu.tr/yonetimekonomi/dergi/pdf/C17S12010/121_146.pdf |
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