INVESTIGATION OF THE VOLATILITY INTERACTION BETWEEN VIX FEAR INDEX AND BIST SECTOR INDICES VIA CCC-GARCH: PERIOD OF 2013-2020
نویسندگان
چکیده
Küreselle?en finans piyasalar?nda yat?r?mc?lar karar al?rken ulusal bile?enler yan?nda uluslararas? göstergeleri de dikkate almaktad?r. Korku endeksi olarak da ifade edilen Volatilite Endeksi (VIX) ?ikago Opsiyon Borsas? taraf?ndan hesaplanmakta ve hem politika yap?c?lar piyasa kat?l?mc?lar? yayg?n bir biçimde takip edilmektedir.
 Bu çal??mada da, Borsa ?stanbul’dan seçilmi? 7 sektör ile VIX korku aras?ndaki volatilite etkile?imini ortaya koyabilmek amaçlanmaktad?r. Çal??mada 2013-2020 dönemi için günlük gözlemlerden elde logaritmik fark serileri Sabit Ko?ullu Korelasyon GARCH (CCC-GARCH) modeli analiz edilmi?tir. Yöntem, etkile?imlerinin yan?s?ra de?i?kenler aras? korelasyon katsay?lar?n? gösterebilmesi bak?m?ndan alternatif yöntemler aras?ndan öne ç?kmaktad?r. Analiz bulgular?na göre; seriler aras?nda istatistiksel anlaml? etkile?imleri zay?f olmakla beraber negatif bulunmaktad?r.
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ژورنال
عنوان ژورنال: Dicle Üniversitesi ?ktisadi ve ?dari Bilimler Fakültesi dergisi
سال: 2021
ISSN: ['2587-0106', '1309-4602']
DOI: https://doi.org/10.53092/duiibfd.894094