VIX (Korku Endeksi) ile BİST Endeksleri Arasındaki Volatilite Etkileşiminin DCC-GARCH Modeliyle Analizi(Analysis of Volatility Interaction Between VIX (Fear Index) and BIST Indexes With DCC-GARCH Model)
نویسندگان
چکیده
Purpose – In this study, It is aimed to examine and interpret the volatility interaction between some indexes operating in Borsa Istanbul VIX (Fear Index). Design/methodology/approach – daily income series of BIST 30, Corporate Governance, Industry, Trade, Insurance Leasing Factoring Indices Index), which are active Istanbul, constituting period 02.01.2015-31.12.2020 were used. . For return series, DCC-GARCH models, one multivariate GARCH used Findings As a result analysis, it seen that effect clusters occur many Index) indices. addition, formed increases There positive strong relationship returns most indices changes over time. one, low degree correlation was found. Discussion will be important for relevant persons institutions shape their investments savings by taking into account results stocks investors companies stock exchange.
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ژورنال
عنوان ژورنال: Journal of Business Research-Turk
سال: 2021
ISSN: ['1309-0712']
DOI: https://doi.org/10.20491/isarder.2021.1248