VOLATILITY MODELLING FOR EURO IN TURKEY
Journal Title: European Journal of Business and Social Sciences - Year 2015, Vol 3, Issue 10
Abstract
Aseries is formed by taking the logarithm of Euro exchange rate return between January 3, 2000 and December 12, 2014 so as to analyze the volatility structure of Euro exchange rate return in Turkey. Initially, the series is observed to be a stationary one, and optimal autoregressive moving average model is estimated. Later, it has been revealed that the residuals of the mean equation implicate ARCH effect. In addition, heteroscedastic variance model with four different conditions / assumptions has been estimated. It has been proven that ARCH effect is eliminated in these models estimated and no autocorrelation exists in error terms, either. As a result, it has been revealed that among these models the optimal conditional heteroskedasticity model is the TGARCH (1,1).
Authors and Affiliations
Prof. Dr. Munevver TURANLI, Prof. Dr. Dicle CENGİZ, Coskun PARIM
Keywords
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