Reel efektif döviz kuru endeksi volatilitesinin ARCH ve GARCH modelleri ile tahmini

Reel efektif döviz kuru endeksinin uluslararası finansta anahtar bir nisbi değer olması, bu değişkendeki kısa dönemli ani hareketlerin iyi bir şekilde modellenmesini gerekli kılmaktadır. Bu ani değişimlerin yarattığı volatilitenin dikkate alınmadığı modeller, makroekonomik değişkenler arası ilişkilerin yanlış sonuçlar vermesine neden olacaktır. Mevcut volatilitenin modellenmesi için yapılan analizlerde ise genellikle ARCH ve GARCH yöntemleri tercih edilmektedir. Bu çalışmada da aynı yöntemlerden yararlanılarak, Türkiye ekonomisinde serbest dalgalı döviz kuru uygulamasına geçilen 2001 yılı mart ayından 2010 yılı mayıs ayına kadarki süreç için aylık TL/dolar döviz kuru endeks değerlerindeki mevcut volatilite modellenmeye çalışılmıştır. İncelenen döneme ilişkin olarak GARCH(1,1) modeli, Türkiye ekonomisinde reel efektif döviz kuru oynaklığını gideren en uygun model olarak öngörülmüştür.

Estimating the real effective exchange rate volatility with ARCH and GARCH models

Since real effective exchange rate is the key relative price in international finance, it is required to model sudden changes in the short- run properly. Models which ignore the volatility of these changes would cause erroneous conclusions with regards to relationship among variables. Studies done to model real effective exchange rate generally prefer to utilize ARCH and GARCH specifications. Similarly in this study, current volatility in the TL/Dollar monthly exchange rates from March, 2001 which is the beginning point on which Turkish economy moved into a floating exchange rate regime to May, 2010 was tried to model. It was found evidence that GARCH(1,1) offers the most convenient model to adjust exchange rate volatility in the Turkish economy.

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