APGARCH MODELING OF CDS RETURNS
Yıl: 2015 Cilt: 11 Sayı: 2 Sayfa Aralığı: 171 - 182 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022
APGARCH MODELING OF CDS RETURNS
Öz: Bu çalışmada, beş ülkenin kredi temerrüt takası (CDS) getirilerinde (Brezilya, Rusya, Çin, Güney Afrika ve Türkiye) farklı hata dağılımlarına bağlı olarak oynaklık yapılarını belirlemek üzere Ding, Granger and Engle (1993) tarafından ileri sürülen Genelleştirilmiş Asimetrik Üslü ARCH (APGARCH) modelinin uygulanabilirliği araştırılmıştır. Söz konusu ülkelerin 27 Ocak 20034 Kasım 2014 dönemine ait günlük CDS getirileri analiz edilmiştir. Çalışmanın bulguları, piyasalarda yaşanan gelişmelere karşı asimetrik etkilerin varlığında, finansal zaman serilerindeki çarpıklık ve basıklık özelliklerini birlikte ele alan çarpık Student-t dağılımlı APGARCH(1,1) modelinin tercih edilmesi gerektiği yönündedir.
Anahtar Kelime: Konular:
CDS GETİRİLERİNİN APGARCH MODELLEMESİ
Öz: This paper considers the ability of the Generalized Asymmetric Power ARCH (APGARCH) model introduced by Ding, Granger and Engle (1993) to capture the stylized features of volatility in Credit Default Swap (CDS) returns for five countries (Brazil, Russia, China, South Africa and Turkey). We analyze these countries daily CDS returns for the period January 27th, 2003November 4th, 2014. The results of this paper suggest that in the presence of asymmetric responses to innovations in the market, the APGARCH (1,1) Skewed Student-t model which accommodates both the skewness and the kurtosis of financial time series is preferred.
Anahtar Kelime: Konular:
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | URAL M, DEMİRELİ E (2015). APGARCH MODELING OF CDS RETURNS. , 171 - 182. |
| Chicago | URAL MERT,DEMİRELİ Erhan APGARCH MODELING OF CDS RETURNS. (2015): 171 - 182. |
| MLA | URAL MERT,DEMİRELİ Erhan APGARCH MODELING OF CDS RETURNS. , 2015, ss.171 - 182. |
| AMA | URAL M,DEMİRELİ E APGARCH MODELING OF CDS RETURNS. . 2015; 171 - 182. |
| Vancouver | URAL M,DEMİRELİ E APGARCH MODELING OF CDS RETURNS. . 2015; 171 - 182. |
| IEEE | URAL M,DEMİRELİ E "APGARCH MODELING OF CDS RETURNS." , ss.171 - 182, 2015. |
| ISNAD | URAL, MERT - DEMİRELİ, Erhan. "APGARCH MODELING OF CDS RETURNS". (2015), 171-182. |
| APA | URAL M, DEMİRELİ E (2015). APGARCH MODELING OF CDS RETURNS. Ekonomik ve Sosyal Araştırmalar Dergisi, 11(2), 171 - 182. |
| Chicago | URAL MERT,DEMİRELİ Erhan APGARCH MODELING OF CDS RETURNS. Ekonomik ve Sosyal Araştırmalar Dergisi 11, no.2 (2015): 171 - 182. |
| MLA | URAL MERT,DEMİRELİ Erhan APGARCH MODELING OF CDS RETURNS. Ekonomik ve Sosyal Araştırmalar Dergisi, vol.11, no.2, 2015, ss.171 - 182. |
| AMA | URAL M,DEMİRELİ E APGARCH MODELING OF CDS RETURNS. Ekonomik ve Sosyal Araştırmalar Dergisi. 2015; 11(2): 171 - 182. |
| Vancouver | URAL M,DEMİRELİ E APGARCH MODELING OF CDS RETURNS. Ekonomik ve Sosyal Araştırmalar Dergisi. 2015; 11(2): 171 - 182. |
| IEEE | URAL M,DEMİRELİ E "APGARCH MODELING OF CDS RETURNS." Ekonomik ve Sosyal Araştırmalar Dergisi, 11, ss.171 - 182, 2015. |
| ISNAD | URAL, MERT - DEMİRELİ, Erhan. "APGARCH MODELING OF CDS RETURNS". Ekonomik ve Sosyal Araştırmalar Dergisi 11/2 (2015), 171-182. |
