{"id":3793,"date":"2017-11-08T03:10:33","date_gmt":"2017-11-08T00:10:33","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=3793"},"modified":"2017-11-11T02:25:29","modified_gmt":"2017-11-10T23:25:29","slug":"modeling-of-volatility-in-the-stock-markets-returns-classic-and-bayesian-garch-approaches-for-ise-100","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/modeling-of-volatility-in-the-stock-markets-returns-classic-and-bayesian-garch-approaches-for-ise-100","title":{"rendered":"Pay Piyasalar\u0131nda Getiri Volatilitesinin Modellenmesi: B\u0130ST -100 \u0130\u00e7in Klasik ve Bayesci GARCH Yakla\u015f\u0131mlar\u0131"},"content":{"rendered":"

<\/p>\n\n\n\n\n
Makale Bilgileri<\/td>\n<\/tr>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nPay Piyasalar\u0131nda Getiri Volatilitesinin Modellenmesi: B\u0130ST -100 \u0130\u00e7in Klasik ve Bayesci GARCH Yakla\u015f\u0131mlar\u0131<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nMuhammet Burak K\u0131l\u0131\u00e7, \u0130smail \u00c7elik, Murat Kaya<\/td>\n<\/tr>\n
Cilt:<\/td>\n8<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n4<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2017<\/td>\n<\/tr>\n
Sayfa:<\/td>\n715-726<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2017.78<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
Yat\u0131r\u0131m ara\u00e7lar\u0131ndan beklenen getirinin elde edilmesi kadar yat\u0131r\u0131m risklerinde tahminin do\u011frulu\u011fu da yat\u0131r\u0131mc\u0131 karakteristikleri a\u00e7\u0131s\u0131ndan \u00f6nem ta\u015f\u0131maktad\u0131r. Finans\u0131n en temel ikilemlerinden biri olan risk ve getiri konusunun risk aya\u011f\u0131na yo\u011funla\u015fan \u00e7al\u0131\u015fmalarda model art\u0131klar\u0131n\u0131n sahip oldu\u011fu kal\u0131n kuyruk \u00f6zelli\u011fi endeks getirileri i\u00e7in uygun risk tahmin modelinin elde edilmesini zorla\u015ft\u0131rmaktad\u0131r. \u015eubat 2007-\u015eubat 2017 aral\u0131\u011f\u0131ndaki g\u00fcnl\u00fck Borsa \u0130stanbul (B\u0130ST-100) endeks verilerinin kullan\u0131ld\u0131\u011f\u0131 bu \u00e7al\u0131\u015fmada Student-t art\u0131klar\u0131yla klasik ve Bayesci GARCH (1,1) modellerinin, pay senedi getiri volatilitesi \u00fczerindeki etkilerinin kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131 ama\u00e7lanmaktad\u0131r. Ara\u015ft\u0131rma sonucunda pay senedi getiri volatiliteleri i\u00e7in tahmin edilen klasik ve Bayesci GARCH(1,1) \u2013 Student-t model sonu\u00e7lar\u0131 aras\u0131nda hem \u015foklar\u0131n volatilite \u00fczerindeki etkisi hem de volatilite kal\u0131c\u0131l\u0131\u011f\u0131 a\u00e7\u0131s\u0131ndan \u00e7ok \u00f6nemli bir farkl\u0131l\u0131k bulunamam\u0131\u015ft\u0131r. Bu durum her iki tahmin modelinin birbirinden ay\u0131rt edilmedi\u011fi \u015feklinde yorumlanabilir. Sonu\u00e7 olarak klasik ve Bayesci GARCH(1,1) Student-t tahmin modelleri, pay senedi getiri volatilitesinin modellenmesinde, yat\u0131r\u0131mc\u0131lara ve piyasa d\u00fczenleyicilerine yat\u0131r\u0131m riskinin tahmini a\u00e7\u0131s\u0131ndan g\u00fcvenilir sonu\u00e7lar sunmaktad\u0131r.<\/td>\n<\/tr>\n
\n
\n\n\n\n\n
Anahtar Kelimeler:<\/td>\nB\u0130ST-100, Pay Senedi Getirileri, Volatilite, Student-t Da\u011f\u0131l\u0131m\u0131, Bayesci Yakla\u015f\u0131mlar<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\n
\n\n\n\n
JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC46, C58 G11, G12<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

\r\n \r\n
\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> 3141)<\/a> <\/td>\r\n <\/tr>\r\n<\/table>Tam Metin\r\n<\/b> ( \u2193<\/span> 3141)<\/a> <\/td>\r\n <\/tr>\r\n<\/table><\/p>\n
<\/div>\n

<\/path><\/svg><\/i> \"Loading\"<\/p>\n

<\/div>","protected":false},"excerpt":{"rendered":"

Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: Pay Piyasalar\u0131nda Getiri Volatilitesinin Modellenmesi: B\u0130ST -100 \u0130\u00e7in Klasik ve Bayesci GARCH Yakla\u015f\u0131mlar\u0131 Yazar(lar): Muhammet Burak K\u0131l\u0131\u00e7, \u0130smail \u00c7elik, Murat Kaya Cilt: 8 Say\u0131: 4 Y\u0131l: 2017 Sayfa: 715-726 ISSN: 1309-2448 DOI Numaras\u0131: 10.20409\/berj.2017.78 \u00d6z Yat\u0131r\u0131m ara\u00e7lar\u0131ndan beklenen getirinin elde edilmesi kadar yat\u0131r\u0131m risklerinde tahminin […]<\/p>\n

<\/div>\n

<\/path><\/svg><\/i> \"Loading\"<\/p>\n

<\/div>\n","protected":false},"author":4638,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3,1,7],"tags":[],"class_list":["post-3793","post","type-post","status-publish","format-standard","hentry","category-makale","category-manuscript","category-manuscript2"],"a3_pvc":{"activated":true,"total_views":100,"today_views":0},"_links":{"self":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/posts\/3793","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/users\/4638"}],"replies":[{"embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/comments?post=3793"}],"version-history":[{"count":0,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/posts\/3793\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/media?parent=3793"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/categories?post=3793"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/tags?post=3793"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}