Forecasting realized volatility of BIST indices with har-type models

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 series’ characteristics in forecasting. Moreover, the findings of this paper also hint at matters of diversification particular to index volatility forecasting. In overall, HAR Models proved to be a successful estimator for Turkish Stock Exchange time series.

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Detaylı Görünüm
Eser Adı
(dc.title)
Forecasting realized volatility of BIST indices with har-type models
Yazar [Asıl]
(dc.creator.author)
Köksal, Emre Ahmet
Yazar Departmanı
(dc.creator.department)
Yeditepe University Graduate School of Social Sciences
Yazar Departmanı
(dc.creator.department)
Yeditepe University Graduate School of Social Sciences Master’s Program in Financial Economics
Yayın Tarihi
(dc.date.issued)
2023
Yayın Turu [Akademik]
(dc.type)
preprint
Yayın Türü [Ortam]
(dc.format)
application/pdf
Konu Başlıkları [Genel]
(dc.subject)
Bist
Konu Başlıkları [Genel]
(dc.subject)
Har models
Konu Başlıkları [Genel]
(dc.subject)
High frequency data
Konu Başlıkları [Genel]
(dc.subject)
Realized volatility
Konu Başlıkları [Genel]
(dc.subject)
Volatility forecasting
Konu Başlıkları [Genel]
(dc.subject)
Har modelleri
Konu Başlıkları [Genel]
(dc.subject)
Yüksek frekans verileri
Konu Başlıkları [Genel]
(dc.subject)
Gerçekleşen oynaklık
Konu Başlıkları [Genel]
(dc.subject)
Oynaklık tahmini
Yayıncı
(dc.publisher)
Yeditepe University Academic and Open Access Information System
Dil
(dc.language.iso)
eng
Özet Bilgisi
(dc.description.abstract)
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 series’ characteristics in forecasting. Moreover, the findings of this paper also hint at matters of diversification particular to index volatility forecasting. In overall, HAR Models proved to be a successful estimator for Turkish Stock Exchange time series.
Kayıt Giriş Tarihi
(dc.date.accessioned)
2024-01-16

(dc.date.available)
2024-01-16
Haklar
(dc.rights)
Yeditepe University Academic and Open Access Information System
Erişim Hakkı
(dc.rights.access)
Open Access
Telif Hakkı
(dc.rights.holder)
Unless otherwise stated, copyrights belong to Yeditepe University. Usage permissions are specified in the Open Access System, and "InC-NC/1.0" and "by-nc-nd/4.0" are as stated.
Telif Hakkı Url
(dc.rights.uri)
http://creativecommons.org/licenses/by-nc-nd/4.0
Telif Hakkı Url
(dc.rights.uri)
https://rightsstatements.org/page/InC-NC/1.0/?language=en
Açıklama [Genel]
(dc.description)
Final published version
Açıklama [Not]
(dc.description.note)
Note: This preprint reports new research that has not been certified by peer review and should not be used as established information without consulting multiple experts in the field.
Tanım Koleksiyon Bilgisi
(dc.description.collectioninformation)
This item is part of the preprint collection made available through Yeditepe University library. For your questions, our contact address is openaccess@yeditepe.edu.tr
Yazar [KatkıdaBulunan]
(dc.contributor.author)
Tüysüz, Şükriye
Yazar [KatkıdaBulunan] Kurum
(dc.contributor.institution)
Yeditepe University Graduate School of Social Sciences
Yazar [KatkıdaBulunan] Kurum
(dc.contributor.institution)
Yeditepe University Faculty of Economy and Administrative Sciences Department of International Finance
Yazar Katkı Sağlayan OrcID
(dc.contributor.authorOrcid)
0000-0001-8391-6521
Tek Biçim Adres
(dc.identifier.uri)
https://hdl.handle.net/20.500.11831/8167
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