VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ
Yıl: 2021 Cilt: 13 Sayı: 24 Sayfa Aralığı: 86 - 110 Metin Dili: Türkçe DOI: 10.14784/marufacd.879194 İndeks Tarihi: 29-07-2022
VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ
Öz: Bu çalışmada Dolar-TL kurunun finansal riskinin yönetiminde kullanılacak modellerin performansı üzerinde volatilitedeki çoklu yapısal kırılmaların olası etkileri incelenmiştir. Finansal risk yönetim modelleri olarak volatilite öngörü (volatlity forecasting) modelleri ile piyasa riski ölçüm modelleri esas alınmıştır. Volatilitedeki çoklu yapısal kırılmaların tespitinde ICSS algoritması ile Bai ve Perron (1998, 2003) testinden yararlanılmıştır. Zamanla değişen volatilite değerleri ise FIGARCH modeli ile tahmin edilmiştir. Çalışma bulguları, Dolar-TL kurunun volatilitesinin çoklu yapısal kırılmalar içerdiği fakat bu yapısal kırılmaların dikkate alınmasının risk yönetim modellerinin performansını artırmadığı sonucuna işaret etmektedir.
Anahtar Kelime: EXAMINING THE IMPACTS OF THE MULTIPLE STRUCTURAL BREAKS IN VOLATILITY ON THE PERFORMANCE OF FINANCIAL RISK MANAGEMENT MODELS
Öz: This study examines the potential impacts of multiple structural breaks in US Dollar–TL exchange rate return volatility on the performance of the financial risk management models used to manage the financial risk of the positions taken in the US Dollar–TL exchange rate. Volatility forecasting and value-at-risk models are considered to be risk management models. Inclan and Tiao’s (1994) Iterated Cumulative Sum of Squares algorithm and Bai and Perron’s (1998, 2003) test are applied to detect multiple structural breaks in US Dollar–TL exchange rate return volatility. The FIGARCH model is then used to obtain time-varying conditional volatility. The findings of the study indicate that the volatility of the US Dollar–TL exchange rate return includes multiple structural breaks, but incorporating these structural breaks into risk management models does not increase the performance of these models.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | BÜBERKÖKÜ Ö (2021). VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. , 86 - 110. 10.14784/marufacd.879194 |
| Chicago | BÜBERKÖKÜ ÖNDER VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. (2021): 86 - 110. 10.14784/marufacd.879194 |
| MLA | BÜBERKÖKÜ ÖNDER VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. , 2021, ss.86 - 110. 10.14784/marufacd.879194 |
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| ISNAD | BÜBERKÖKÜ, ÖNDER. "VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ". (2021), 86-110. https://doi.org/10.14784/marufacd.879194 |
| APA | BÜBERKÖKÜ Ö (2021). VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar ve Çalışmalar Dergisi, 13(24), 86 - 110. 10.14784/marufacd.879194 |
| Chicago | BÜBERKÖKÜ ÖNDER VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar ve Çalışmalar Dergisi 13, no.24 (2021): 86 - 110. 10.14784/marufacd.879194 |
| MLA | BÜBERKÖKÜ ÖNDER VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar ve Çalışmalar Dergisi, vol.13, no.24, 2021, ss.86 - 110. 10.14784/marufacd.879194 |
| AMA | BÜBERKÖKÜ Ö VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar ve Çalışmalar Dergisi. 2021; 13(24): 86 - 110. 10.14784/marufacd.879194 |
| Vancouver | BÜBERKÖKÜ Ö VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar ve Çalışmalar Dergisi. 2021; 13(24): 86 - 110. 10.14784/marufacd.879194 |
| IEEE | BÜBERKÖKÜ Ö "VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ." Finansal Araştırmalar ve Çalışmalar Dergisi, 13, ss.86 - 110, 2021. 10.14784/marufacd.879194 |
| ISNAD | BÜBERKÖKÜ, ÖNDER. "VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ". Finansal Araştırmalar ve Çalışmalar Dergisi 13/24 (2021), 86-110. https://doi.org/10.14784/marufacd.879194 |
