Reel döviz kuru endeksinin otoregresif koşulu değişen varyanslılığın analizi : İki eşikli tarch yöntemi ile modellenmesi

Zaman serilerinin yapılarında koşullu değişen varyans olması durumu geleneksel regresyon modellerinde çoğu kez ihmal edilmekle birlikte serinin volatiliteye sahip olması analizin tutarlılığını da ciddi bir şekilde etkilemektedir. Zaman serilerinde olması muhtemel volatiliteyi belirlemek amacıyla ARCH ve GARCH modellerinden yararlanılmaktadır. Bu çalışmada öncelikle reel döviz kuru endeksi, durağanlığı sağlandıktan sonra uygun ARIMA modeli ile markalanmış ve endeksin volatiliteye sahip olup olmadığı ARCH yöntemi ile test edilmiştir. Seride volatilite tespit edilmiş ve Eşikli TARCH (1,1) ile modellendikten sonra tekrar volatilite testine tabi tutulmuştur. Bu aşama sonrasında seride herhangi bir volatilite tespit edilmemiştir

An analysis on autoregressive conditional variance of real exchange rate index : Modelling with two-threshold arch method

Time series has an auto regressive conditionally heteroskedasticity state virtually having been ignored in traditional regression models nevertheless ıf the serie has a volatility, this will be seriously effects the cosistency of the analysis. The ARCH and GARCH methods are used ın order to determine the potential volatility in time series. In this study initially the real exchange rate index has been tested with ARCH method after to be achieved its stability and had been marked with ARIMA models. The volatility has been found and it has been modelled by using two thresholded TARCH (1,1) method. The new model reexamined whether it has a volatility or not. After this step there is no voaltility.

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