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Journals / Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi / 2026 / Cilt: 35

RETURN FORECASTING IN SUKUK INDICES USING DEEP LEARNING: A COMPARISON OF BILSTM, GRU, AND RNN MODELS

SUKUK ENDEKSLERİNDE DERİN ÖĞRENME İLE GETİRİ TAHMİNİ: BİLSTM, GRU VE RNN MODELLERİNİN KARŞILAŞTIRMASI

Ayyüce Memiş Karataş(NİĞDE ÖMER HALİSDEMİR ÜNİVERSİTESİ)0000-0002-3429-5666
Eyyüp Ensari Şahin(NİĞDE ÖMER HALİSDEMİR ÜNİVERSİTESİ)0000-0003-2110-7571
Pages
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Publication Date
2026-07-21
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

GRU performed competitively in some cases but generally fell short of BİLSTM, while RNN showed the weakest predictive accuracy overall.

📌 3 Key Takeaways

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Objective & Hypothesis:This study presents a comparative evaluation of the forecasting performance of three deep learning architectures: BİLSTM (Bidirectional Long Short-Term Memory), GRU (Gated Recurrent Unit), and RNN (Recurrent Neural Network), applied to financial time series.
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Key Findings & Data:The dataset includes daily return series from Bloomberg, DJSUKUK, and SPBDMSUT indices, covering the period between 12 February 2014, and 4 July 2025.
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Conclusion & Impact:GRU performed competitively in some cases but generally fell short of BİLSTM, while RNN showed the weakest predictive accuracy overall.
🔬Design:Modeling & Simulation
📍Scope:2014 Verileri
⚙️Variables:BILSTM · GRU · RNN

Abstract

This study presents a comparative evaluation of the forecasting performance of three deep learning architectures: BİLSTM (Bidirectional Long Short-Term Memory), GRU (Gated Recurrent Unit), and RNN (Recurrent Neural Network), applied to financial time series. The dataset includes daily return series from Bloomberg, DJSUKUK, and SPBDMSUT indices, covering the period between 12 February 2014, and 4 July 2025. Each model was trained on 60 days of historical data to forecast the following 20 days. Model performance was assessed using regression-based metrics, including MAE, RMSE, and the coefficient of determination (R²), while forecast outputs were also examined graphically. Initial steps involved unit root testing (ADF), autocorrelation checks (ACF/PACF), correlation matrices, and descriptive statistics. The analyses revealed strong short-term dependencies and interconnected patterns across the variables. Among the tested models, BİLSTM consistently achieved the lowest prediction errors and highest R² values, particularly excelling for the SPBDMSUT and DJSUKUK indices. GRU performed competitively in some cases but generally fell short of BİLSTM, while RNN showed the weakest predictive accuracy overall. These results highlight the practical usefulness of deep learning models in financial forecasting, positioning BİLSTM as a particularly effective tool for handling complex and multivariate time series. The findings suggest that such models can offer valuable support for financial decision-making, policy design, and risk management activities.

Özet

Bu çalışma, finansal zaman serilerinin ileriye dönük tahmininde üç farklı derin öğrenme mimarisinin (BİLSTM, GRU, RNN) performanslarını karşılaştırmalı olarak incelemektedir. 12.02.2014–04.07.2025 dönemine ait Bloomberg, DJSUKUK ve SPBDMSUT endekslerinin günlük getiri serilerinden oluşan veri seti üzerinde yapılan analizde, her model 60 günlük geçmiş verilere dayanarak 20 günlük ileri tahmin üretmiştir. Modeller, MAE, RMSE ve R² gibi regresyon tabanlı metriklerle değerlendirilmiş ve tahmin çıktıları grafiksel olarak analiz edilmiştir. Ön analizler kapsamında durağanlık testleri (ADF), otokorelasyon analizleri (ACF/PACF), korelasyon matrisleri ve tanımlayıcı istatistikler kullanılmıştır. Bulgular, serilerin güçlü kısa vadeli bağımlılıklara ve birlikte hareket eden örüntülere sahip olduğunu ortaya koymuştur. BİLSTM modeli, tüm değişkenlerde en düşük hata ve en yüksek determinasyon katsayısını (R²) üretmiş, özellikle SPBDMSUT ve DJSUKUK serilerinde güçlü performans göstermiştir. GRU modeli bazı durumlarda rekabetçi sonuçlar üretmiş, RNN ise belirgin şekilde en düşük performansı sergilemiştir. Sonuçlar, finansal tahmin problemlerinde yapay zekâ tabanlı modellerin yüksek doğruluk sağladığını, özellikle BİLSTM mimarisinin karmaşık ve çok değişkenli serilerde öne çıktığını göstermektedir. Elde edilen bulgular, finansal karar destek sistemleri, politika planlama ve risk yönetimi alanlarında derin öğrenme tabanlı yapıların stratejik avantajlar sunduğunu ortaya koymaktadır.

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Cite This Article

Karataş, A. M., Şahin, E. E. (2026). RETURN FORECASTING IN SUKUK INDICES USING DEEP LEARNING: A COMPARISON OF BILSTM, GRU, AND RNN MODELS. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt: 35. https://doi.org/10.35379/cusosbil.1696964

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