Publication: Forex Piyasalarında Parite Riskinin Fraksiyonel Bütünleşen Garch Modelleri ile Analizi
Abstract
Özet: Forex ülkelerin para birimlerinin değişim piyasasıdır. Dünyada döviz parite fiyatları bu piyasada belirlenmektedir. Finansal piyasalarda paritenin değerinde yaşanan değişiklikler sonucu varlıklar ve/veya yükümlülüklerde meydana gelebilecek değişimler "parite riski" olarak adlandırılmaktadır. Dünyada piyasalar 24 saat hiç kapanmadan çalıştığı ve sürekli değişen ekonomik ve politik dengelerden etkilendiği için, döviz işlemi yapan yatırımcılar devamlı bir parite riski ile karşı karşıya kalmaktadır. Parite hareketlerinden kaynaklanabilecek zararlar, parite getirilerindeki değişmelerin başarılı bir şekilde öngörülmesi ile azaltılabilir. Parite getirilerinin zaman içinde değişen varyansı yani volatilitesi GARCH modelleri kullanılarak öngörülebilmektedir. Bu çalışmada, 01.05.1981-14.11.2005 dönemi verilerinden yararlanılarak, GBP/USD getirilerinin volatilitesinin modellenmesi amacı ile "Fraksiyonel Bütünleşen GARCH" modelleri tahmin edilmiş ve getirilerin volatilitesinin bu modeller kullanılarak yapılan öngörülerinin oldukça başarılı olduğu sonucuna ulaşılmıştır.
Abstract: Forex is the changing market of currencies in countries. The foreign exchange parity prices in the world are determined at that market. The variation that may occur in assets and/or liabilities as a result of changes in parity value at financial markets is called as "parity risk". As the markets in the world work for 24 hours without closing and are affected from continuously changing economic and political balances, the investors making foreign exchange transactions permanently face with that parity risk. Losses that result from parity movements may be decreased by forecasting the changes in parity returns successfully. Time varying variance of parity returns, that is its volatility, can be forecasted by using GARCH models. In that study, "Fractionally Integrated GARCH " models are estimated to model the volatility of GBP/USD returns by using the data of 01.05.1981-14.11.2005 period and it is concluded that forecasts made by using FIGARCH models on volatility of returns have become very successful.
Abstract: Forex is the changing market of currencies in countries. The foreign exchange parity prices in the world are determined at that market. The variation that may occur in assets and/or liabilities as a result of changes in parity value at financial markets is called as "parity risk". As the markets in the world work for 24 hours without closing and are affected from continuously changing economic and political balances, the investors making foreign exchange transactions permanently face with that parity risk. Losses that result from parity movements may be decreased by forecasting the changes in parity returns successfully. Time varying variance of parity returns, that is its volatility, can be forecasted by using GARCH models. In that study, "Fractionally Integrated GARCH " models are estimated to model the volatility of GBP/USD returns by using the data of 01.05.1981-14.11.2005 period and it is concluded that forecasts made by using FIGARCH models on volatility of returns have become very successful.