Forecasting realized volatility of BIST indices with har-type models

Köksal, Emre Ahmet

In this paper, realized volatility of a selection of BIST Indices are forecasted with Heterogeneous Autoregressive Model (HAR) and its variations. For this purpose, ticks between 2001 and 2021 are used to generate 5-minute returns, which formed the basis for calculations of realized volatility and other realized measures. In the study, rolling windows are utilized for forecasting the volatility of one day ahead. These predictions are then compared to the actual realized volatilities. The study provides a thorough comparison of HAR-type models, and emphasizes the importance of underlying time s ...Daha fazlası

Preprint 2023 Yeditepe University Academic and Open Access Information System 70 Görüntülenme

Erişime Açık

A review on currency shocks and inflation volatility: Evidence from a DCC-GARCH model

Akça, Melike

In the present research, the relationship among the exchange rate and inflation in Turkey was investigated by considering the monthly dataset among 1990:1-2022:4 years. The consumer price index, producer price index, industrial production index, nominal exchange rate, and money supply are used as variables to represent inflation. Impulse-Response analyzes were used to find the short-term effects of the variables, decomposition of variance analysis for the causes of the changes in the variances of the variables, and the medium and long-term relationships of the variables in pairs were determine ...Daha fazlası

Preprint 2024 Yeditepe University Academic and Open Access Information System 90 Görüntülenme

Filtreler

Koleksiyon [1]

İlgili Araştırmacılar [2]

Ambargo Durumu [1]

Tam Metin [1]

Eser Adı [2]

Yazar [Asıl] [2]

Yayın Tarihi [2]

Yazar Departmanı [2]

Yazar [KatkıdaBulunan] [2]

Yazar [KatkıdaBulunan] Kurum [3]

Konu Başlıkları [Genel] [18]

Yayın Türü [Ortam] [1]

Dil [1]

Yayıncı [1]

Erişim Hakkı [1]

Yayın Turu [Akademik] [1]

Forecasting realized volatility of BIST indices with har-type models

Köksal, Emre Ahmet

A review on currency shocks and inflation volatility: Evidence from a DCC-GARCH model

Akça, Melike