{"id":4978,"date":"2020-04-01T23:28:08","date_gmt":"2020-04-01T20:28:08","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=4978"},"modified":"2020-04-04T00:54:42","modified_gmt":"2020-04-03T21:54:42","slug":"estimation-of-the-xu100-index-return-volatility-with-the-integration-of-garch-family-models-and-ann","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/estimation-of-the-xu100-index-return-volatility-with-the-integration-of-garch-family-models-and-ann","title":{"rendered":"GARCH Ailesi Modelleri ve ANN Entegrasyonu ile B\u0130ST 100 Endeks Getirisinin Volatilite Tahmini"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nGARCH Ailesi Modelleri ve ANN Entegrasyonu ile B\u0130ST 100 Endeks Getirisinin Volatilite Tahmini<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nFela \u00d6zbey, Semin Paksoy<\/td>\n<\/tr>\n
Cilt:<\/td>\n11<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n2<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2020<\/td>\n<\/tr>\n
Sayfa:<\/td>\n385-396<\/td>\n<\/tr>\n
ISSN:<\/td>\n2619-9491<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2020.256<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
Yat\u0131r\u0131mc\u0131lar, piyasa riskinden ka\u00e7\u0131nmak i\u00e7in, portf\u00f6y \u00e7e\u015fitlendirmesinin yan\u0131 s\u0131ra ekonometrik modeller ile volatiliteyi en iyi \u015fekilde modelleyerek belirsizli\u011fi azaltmaya \u00e7al\u0131\u015fmaktad\u0131rlar. Volatiliteyi modellemek i\u00e7in en s\u0131k ba\u015fvurulan y\u00f6ntemler Otoregresif Ko\u015fullu De\u011fi\u015fen Varyans ailesi modelleridir. Ancak son y\u0131llarda yap\u0131lan baz\u0131 \u00e7al\u0131\u015fmalar, Otoregresif Ko\u015fullu De\u011fi\u015fen Varyans ailesi modellerinin Yapay Sinir A\u011flar\u0131 algoritmas\u0131 ile entegrasyonundan olu\u015fan yar\u0131 parametrik hibrit modellerin, yal\u0131n modellere g\u00f6re daha iyi performans sergiledi\u011fini g\u00f6stermektedir. Bundan yola \u00e7\u0131k\u0131larak bu \u00e7al\u0131\u015fmada, bahsi ge\u00e7en yal\u0131n ve hibrit modeller ile Borsa \u0130stanbul 100 fiyat endeks getirisinin volatilitesi tahmin edilmi\u015f ve hibrit modellerinin tahmin ba\u015far\u0131s\u0131, bile\u015fenlerinin tahmin ba\u015far\u0131s\u0131 ile kar\u015f\u0131la\u015ft\u0131r\u0131lm\u0131\u015ft\u0131r. Tahminlerde, veriler ile ilgili iki farkl\u0131 da\u011f\u0131l\u0131m \u2013 Normal Da\u011f\u0131l\u0131m ve Genelle\u015ftirilmi\u015f Hata Da\u011f\u0131l\u0131m\u0131 – varsay\u0131m\u0131 yap\u0131lm\u0131\u015f ve kar\u015f\u0131la\u015ft\u0131rmalarda Hata Kareleri Ortalamas\u0131 ve Mutlak Sapma Ortalamas\u0131 kriterleri kullan\u0131lm\u0131\u015ft\u0131r. Her iki kritere g\u00f6re, \u00dcssel Genelle\u015ftirilmi\u015f Otoregresif Ko\u015fullu De\u011fi\u015fen Varyans – Yapay Sinir A\u011flar\u0131 bile\u015fkesi olan hibrit model en iyi performans\u0131 sergilemi\u015ftir. Bu bulgular do\u011frultusunda, finansal ara\u00e7lar\u0131n dinamik risk analizinde hibrit modellerin sa\u011flayabilece\u011fi \u00fcst\u00fcnl\u00fcklerin de\u011ferlendirilmesi \u00f6nerilmektedir.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nVolatilite, Otoregresif Ko\u015fullu De\u011fi\u015fen Varyans Modelleri, Yapay Sinir A\u011flar\u0131, Hibrit Modeller, Yar\u0131 Parametrik Y\u00f6ntemler, B\u0130ST 100 Endeksi<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC22, C45, C52, C58, G10<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: GARCH Ailesi Modelleri ve ANN Entegrasyonu ile B\u0130ST 100 Endeks Getirisinin Volatilite Tahmini Yazar(lar): Fela \u00d6zbey, Semin Paksoy Cilt: 11 Say\u0131: 2 Y\u0131l: 2020 Sayfa: 385-396 ISSN: 2619-9491 DOI Numaras\u0131: 10.20409\/berj.2020.256 \u00d6z Yat\u0131r\u0131mc\u0131lar, piyasa riskinden ka\u00e7\u0131nmak i\u00e7in, portf\u00f6y \u00e7e\u015fitlendirmesinin yan\u0131 s\u0131ra ekonometrik modeller ile volatiliteyi […]<\/p>\n

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