{"id":1470,"date":"2011-07-16T13:25:32","date_gmt":"2011-07-16T18:25:32","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=1470"},"modified":"2011-07-16T13:33:08","modified_gmt":"2011-07-16T18:33:08","slug":"rmd-hesaplamalarinda-volatilite-tahminleme-modellerinin-karsilastirilmasi-ve-basel-ii-yaklasimina-gore-geriye-donuk-test-edilmesi-imkb-100-endeksi-uygulamasi","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/rmd-hesaplamalarinda-volatilite-tahminleme-modellerinin-karsilastirilmasi-ve-basel-ii-yaklasimina-gore-geriye-donuk-test-edilmesi-imkb-100-endeksi-uygulamasi","title":{"rendered":"RMD Hesaplamalar\u0131nda Volatilite Tahminleme Modellerinin Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131 ve Basel II Yakla\u015f\u0131m\u0131na G\u00f6re Geriye D\u00f6n\u00fck Test Edilmesi: \u0130MKB 100 Endeksi Uygulamas\u0131"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
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Makale Bilgileri<\/strong><\/span><\/span><\/p>\n<\/td>\n<\/tr>\n

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Dergi:<\/strong><\/span><\/span> \u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi
\n<\/span>Makalenin Ba\u015fl\u0131\u011f\u0131:<\/strong><\/span><\/span> RMD Hesaplamalar\u0131nda Volatilite Tahminleme Modellerinin Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131 ve Basel II Yakla\u015f\u0131m\u0131na G\u00f6re Geriye D\u00f6n\u00fck Test Edilmesi: \u0130MKB 100 Endeksi Uygulamas\u0131
\n<\/span>Yazar(lar):<\/strong><\/span><\/span> Turhan Korkmaz, Ahmet Bostanc\u0131
\n<\/span>Cilt:<\/strong><\/span><\/span> 2
\n<\/span>Say\u0131:<\/strong><\/span><\/span> 3
\n<\/span>Y\u0131l:<\/strong><\/span><\/span> 2011
\n<\/span>Sayfa:<\/strong><\/span><\/span> 1-17
\n<\/span>ISSN:<\/strong><\/span><\/span> 1309-2448<\/span><\/p>\n<\/td>\n<\/tr>\n

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\u00d6zet<\/strong><\/span><\/span><\/p>\n<\/td>\n<\/tr>\n

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\u0130statistik\u00ee modeller ile Riske Maruz De\u011ferin (RMD) belirlenebilmesi i\u00e7in \u00f6ncelikle volatilitenin hesaplanmas\u0131 gerekmektedir. RMD\u2019nin \u00f6l\u00e7\u00fclmesinde farkl\u0131 volatilite hesaplama y\u00f6ntemleri bulunmaktad\u0131r. Klasik volatilite hesaplama y\u00f6ntemleri finansal fiyat serilerinde g\u00f6zlemlenen belirgin \u00f6zellikleri (stylized facts) modellemede yetersiz kalmaktad\u0131r. Bu \u00e7al\u0131\u015fmada, farkl\u0131 volatilite hesaplama y\u00f6ntemleri tan\u0131t\u0131larak aralar\u0131ndaki farklar belirtilmektedir. Ampirik uygulamada \u0130MKB 100 Endeksinin 14,5 y\u0131l boyunca g\u00fcnl\u00fck kapan\u0131\u015f de\u011ferleri farkl\u0131 volatilite modellerinin hesaplanmas\u0131nda kullan\u0131lm\u0131\u015ft\u0131r. Bulunan volatilite rakamlar\u0131, RMD hesaplamas\u0131nda kullan\u0131lm\u0131\u015f ve sonu\u00e7lar Basel II \u00e7er\u00e7evesinde geriye d\u00f6n\u00fck test (backtesting) edilmi\u015ftir. B\u00fct\u00fcn hesaplamalarda kayan pencere (rolling window) y\u00f6ntemi kullanarak her g\u00fcn i\u00e7in parametreler tek tek g\u00fcncellenmi\u015ftir. Volatilite hesaplanmas\u0131nda, \u00f6zellikle finansal fiyat serilerinin belirgin \u00f6zelliklerini modelleme ba\u015far\u0131s\u0131n\u0131n saptanmas\u0131 i\u00e7in d\u00f6rt farkl\u0131 d\u00f6nem belirlenip modellerin ba\u015far\u0131lar\u0131 tespit edilmi\u015ftir. Elde edilen bulgulara g\u00f6re, finansal fiyat serilerindeki volatilite k\u00fcmelenmesi, de\u011fi\u015fen varyans, kald\u0131ra\u00e7 (leverage) etkisi, sivrilik (peakedness), EWMA ve GARCH gibi geli\u015fmi\u015f modeller taraf\u0131ndan \u00e7ok daha iyi modellenebilmektedir<\/span><\/p>\n<\/td>\n<\/tr>\n

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Anahtar Kelimeler:<\/strong><\/span><\/span> Volatilite, Basel II, Geriye D\u00f6n\u00fck Test, Riske Maruz De\u011fer<\/span><\/p>\n<\/td>\n<\/tr>\n

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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/strong><\/span><\/span> C13, C52, G17<\/span><\/p>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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\r\n \"https:\/\/www.berjournal.com\/tr\/wp-content\/uploads\/icons\/pdf.gif\"\r\n <\/td>\r\n \r\n \r\nTam Metin\r\n<\/b> ( \u2193<\/span> 2949)<\/a> <\/td>\r\n <\/tr>\r\n<\/table><\/p>\n
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Makale Bilgileri Dergi: \u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: RMD Hesaplamalar\u0131nda Volatilite Tahminleme Modellerinin Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131 ve Basel II Yakla\u015f\u0131m\u0131na G\u00f6re Geriye D\u00f6n\u00fck Test Edilmesi: \u0130MKB 100 Endeksi Uygulamas\u0131 Yazar(lar): Turhan Korkmaz, Ahmet Bostanc\u0131 Cilt: 2 Say\u0131: 3 Y\u0131l: 2011 Sayfa: 1-17 ISSN: 1309-2448 \u00d6zet \u0130statistik\u00ee modeller ile Riske Maruz De\u011ferin (RMD) belirlenebilmesi i\u00e7in \u00f6ncelikle […]<\/p>\n

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