EMPIRICAL ANALYSIS OF THE VOLATILITY EFFECT OF THE COVID-19 PANDEMIC PROCESS ON NATURAL GAS FUTURE TRANSACTIONS IN TURKEY
نویسندگان
چکیده
The aim of this study is to investigate the volatility movements in natural gas returns, which one financial investment instruments futures markets, before and after Covid-19 pandemic, using GARCH family models. For purpose, daily data from 30.08.2017 10.03.2020 Pandemic, 11.03.2020 21.09.2021 Pandemic were used. return on was expressed as RLNPO RLNPS. RLNPO, TGARCH determined most suitable model according Schwarz Information Criteria, EGARCH for As a result these analyzes, it has been seen that returns can be explained by asymmetric models but there no leverage effect volatility, positive shock asymmetries have greater volatility. tends decrease post-Covid-19 period.
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ژورنال
عنوان ژورنال: Sosyal bilimler akademi dergisi
سال: 2022
ISSN: ['2636-7599']
DOI: https://doi.org/10.38004/sobad.1184594