The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey

ravanoglu, Galip Afsin; SEKMEN, FUAT

The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey

Fuat SEKMEN, (Sakarya Üniversitesi, Siyasal Bilgiler Fakültesi, Sakarya, Türkiye)

Galip Afşin RAVANOĞLU (Karamanoğlu Mehmetbey Üniversitesi, Uygulamalı Bilimler Yüksekokulu, Karaman, Türkiye)

Manas Journal of Social Studies

2 1

Yıl: 2020 Cilt: 9 Sayı: 2 Sayfa Aralığı: 834 - 843 Metin Dili: İngilizce İndeks Tarihi: 02-03-2021

The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey

Öz:

This study investigates the most appropriate method for modelling the volatility for nominal exchange rate by using the ARCH type models. The research covers the period of 2002-2017 of nominal exchange rate using daily data. It is observed that the volatility of nominal exchange rate has the ARCH effect and the most appropriate model for forecasting the volatility of nominal exchange rate is GARCH(1,2) because it has the lowest Akaike Information Criterion. Furthermore, during the crises and uncertain periods, the volatility of nominal exchange rate series increases and volatility clustering is observed, meaning high volatility tends to follow high volatility and it is true for vice versa.

Anahtar Kelime:

Arch-Garch Modelleri Kullanılarak Döviz Kurundaki Dalgalanmanın Modellenmesi: Türkiye Örneği

Öz:

Bu çalışma, ARCH tipi modelleri kullanarak nominal döviz kurundaki oynaklığı modelleyen en uygun metodu bulmaya çalışmaktadır. Araştırma verisi 2002 -2017 yılları için günlük verileri kapsamaktadır. Döviz kurundaki dalgalanmanın ARCH etkisine sahip olduğu ve nominal döviz kurunu tahminde en uygun modelin en düşük Akaike bilgi kriterine sahip olmasından dolayı GARCH(1,2) olduğu bulunmuştur. Ayrıca, kriz ve belirsizlik dönemlerinde nominal döviz kuru serisinde artışlar olduğu ve yüksek dalgalanmayı yüksek dalgalanmanın takip ettiği kümelenmenin görüldüğü gözlemlenmiştir.

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	SEKMEN F, ravanoglu G (2020). The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. , 834 - 843.
Chicago	SEKMEN FUAT,ravanoglu Galip Afsin The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. (2020): 834 - 843.
MLA	SEKMEN FUAT,ravanoglu Galip Afsin The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. , 2020, ss.834 - 843.
AMA	SEKMEN F,ravanoglu G The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. . 2020; 834 - 843.
Vancouver	SEKMEN F,ravanoglu G The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. . 2020; 834 - 843.
IEEE	SEKMEN F,ravanoglu G "The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey." , ss.834 - 843, 2020.
ISNAD	SEKMEN, FUAT - ravanoglu, Galip Afsin. "The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey". (2020), 834-843.

APA	SEKMEN F, ravanoglu G (2020). The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. Manas Journal of Social Studies, 9(2), 834 - 843.
Chicago	SEKMEN FUAT,ravanoglu Galip Afsin The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. Manas Journal of Social Studies 9, no.2 (2020): 834 - 843.
MLA	SEKMEN FUAT,ravanoglu Galip Afsin The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. Manas Journal of Social Studies, vol.9, no.2, 2020, ss.834 - 843.
AMA	SEKMEN F,ravanoglu G The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. Manas Journal of Social Studies. 2020; 9(2): 834 - 843.
Vancouver	SEKMEN F,ravanoglu G The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey. Manas Journal of Social Studies. 2020; 9(2): 834 - 843.
IEEE	SEKMEN F,ravanoglu G "The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey." Manas Journal of Social Studies, 9, ss.834 - 843, 2020.
ISNAD	SEKMEN, FUAT - ravanoglu, Galip Afsin. "The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey". Manas Journal of Social Studies 9/2 (2020), 834-843.