Altın piyasasında piyasa riskinin ölçülmesi: Riske maruz değer (VAR) yöntemi ile bir uygulama

Bu çalışmanın amacı altın piyasasında öngörülecek VAR değerleri için uygun dağılımın ve modelin belirlenmesidir. Ç alışmada Ocak 2003 -Kasım 2013 dönemlerine ait BİST ve Londra altın piyasasına ilişkin günlük getiri serileri kullanılmıştır. V A R değerleri, normal ve student-t dağılımlarına dayanan simetrik ve asimetrik GARCH modelli Varyans-Kovaryans yöntemi ile hesaplanmıştır. Analiz sonuçları, kalın kuyruklu ve aşırı basık dağılım gösteren altın getiri serileri için yüzde 99 güven düzeyinde student- t dağılımına dayanan modellerin daha doğru V A R öngörülerin de bulunduğunu göstermiştir.

Measuring market risk in gold market: An application of value at risk (VAR) method

Aim of this study is to determine the appropriate distribution and model for V AR in the gold market. Daily return data of BIST and London gold markets are used for the period January 2003- November 2013. V A R is calculated by the Variance- Covariance method with the symmetric and asymmetr ic GARCH models based on normal and student-t distributions. Analysis results suggest that at 99 percent confidence level, the models based on student- t distribution have more accurate predictions of V A R for gold returns that exhibit leptokurtic and fat- tailed features.

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