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Journals / Uluslararası Anadolu Sosyal Bilimler Dergisi / 2026 / Cilt: 9 Sayı: 2

PERSISTENT RISK and STRUCTURAL CHANGE in THE ICEA INDEX: VOLATILITY UNDER COVID-19

ICEA ENDEKSİNDE RİSKİN KALICILIĞI: COVID-19 DÖNEMİNDE VOLATİLİTE VE YAPISAL DEĞİŞİM

Orkun Bayram(BALIKESIR UNIVERSITY)0000-0001-9958-7822
Pages
391–407
Publication Date
2025-06-30
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AI Summary & Key Takeaways

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⚡ TL;DR(Too Long; Didn't Read)

The COVID-19 pandemic has created an unprecedented level of uncertainty in the global financial system and necessitated a reassessment of risk modeling approaches.In this context, this study analyzes the structural breaks and long-term effects of the pandemic and its aftermath on the ICEA Index, which represents Turkey's financial fragility.Based on weekly data for the 2014-2024 period, structural breaks are analyzed using the Zivot-Andrews test and the persistent effects of these breaks are evaluated using the Bai-Perron method.Long-run dependence is measured by both the ARFIMA model and the Hurst coefficient.In addition, the GARCH model family is applied to reveal the volatility characteristics of the index, while tail risk levels are estimated using the Value-at-Risk (VaR) method.The findings show that the pandemic has a significant impact on both volatility levels and memory structure.This study aims not only to contribute to the literature but also to shed light on the development of early warning mechanisms that can be used in financial decision-making processes.It reveals that post-COVID-19 approaches to risk management in emerging markets such as Turkey need to be reshaped.

📌 3 Key Takeaways

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Objective & Hypothesis:The COVID-19 pandemic has created an unprecedented level of uncertainty in the global financial system and necessitated a reassessment of risk modeling approaches.In this context, this study analyzes the structural breaks and long-term effects of the pandemic and its aftermath on the ICEA Index, which represents Turkey's financial fragility.Based on weekly data for the 2014-2024 period, structural breaks are analyzed using the Zivot-Andrews test and the persistent effects of these breaks are evaluated using the Bai-Perron method.Long-run dependence is measured by both the ARFIMA model and the Hurst coefficient.In addition, the GARCH model family is applied to reveal the volatility characteristics of the index, while tail risk levels are estimated using the Value-at-Risk (VaR) method.The findings show that the pandemic has a significant impact on both volatility levels and memory structure.This study aims not only to contribute to the literature but also to shed light on the development of early warning mechanisms that can be used in financial decision-making processes.It reveals that post-COVID-19 approaches to risk management in emerging markets such as Turkey need to be reshaped.
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Key Findings & Data:The COVID-19 pandemic has created an unprecedented level of uncertainty in the global financial system and necessitated a reassessment of risk modeling approaches.In this context, this study analyzes the structural breaks and long-term effects of the pandemic and its aftermath on the ICEA Index, which represents Turkey's financial fragility.Based on weekly data for the 2014-2024 period, structural breaks are analyzed using the Zivot-Andrews test and the persistent effects of these breaks are evaluated using the Bai-Perron method.Long-run dependence is measured by both the ARFIMA model and the Hurst coefficient.In addition, the GARCH model family is applied to reveal the volatility characteristics of the index, while tail risk levels are estimated using the Value-at-Risk (VaR) method.The findings show that the pandemic has a significant impact on both volatility levels and memory structure.This study aims not only to contribute to the literature but also to shed light on the development of early warning mechanisms that can be used in financial decision-making processes.It reveals that post-COVID-19 approaches to risk management in emerging markets such as Turkey need to be reshaped.
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Conclusion & Impact:The COVID-19 pandemic has created an unprecedented level of uncertainty in the global financial system and necessitated a reassessment of risk modeling approaches.In this context, this study analyzes the structural breaks and long-term effects of the pandemic and its aftermath on the ICEA Index, which represents Turkey's financial fragility.Based on weekly data for the 2014-2024 period, structural breaks are analyzed using the Zivot-Andrews test and the persistent effects of these breaks are evaluated using the Bai-Perron method.Long-run dependence is measured by both the ARFIMA model and the Hurst coefficient.In addition, the GARCH model family is applied to reveal the volatility characteristics of the index, while tail risk levels are estimated using the Value-at-Risk (VaR) method.The findings show that the pandemic has a significant impact on both volatility levels and memory structure.This study aims not only to contribute to the literature but also to shed light on the development of early warning mechanisms that can be used in financial decision-making processes.It reveals that post-COVID-19 approaches to risk management in emerging markets such as Turkey need to be reshaped.
🔬Design:Modeling & Simulation
📍Scope:2014-2024 Verileri
⚙️Variables:ICEA Endeksi · COVİD-19 · Uzun Bellek

Abstract

The COVID-19 pandemic has created an unprecedented level of uncertainty in the global financial system and necessitated a reassessment of risk modeling approaches.In this context, this study analyzes the structural breaks and long-term effects of the pandemic and its aftermath on the ICEA Index, which represents Turkey's financial fragility.Based on weekly data for the 2014-2024 period, structural breaks are analyzed using the Zivot-Andrews test and the persistent effects of these breaks are evaluated using the Bai-Perron method.Long-run dependence is measured by both the ARFIMA model and the Hurst coefficient.In addition, the GARCH model family is applied to reveal the volatility characteristics of the index, while tail risk levels are estimated using the Value-at-Risk (VaR) method.The findings show that the pandemic has a significant impact on both volatility levels and memory structure.This study aims not only to contribute to the literature but also to shed light on the development of early warning mechanisms that can be used in financial decision-making processes.It reveals that post-COVID-19 approaches to risk management in emerging markets such as Turkey need to be reshaped.

Özet

COVID-19 pandemisi, küresel finansal sistemde daha önce benzeri görülmemiş düzeyde bir belirsizlik yaratmış ve risk modellemesine dair yaklaşımların yeniden değerlendirilmesini zorunlu kılmıştır. Bu bağlamda, bu çalışma Türkiye’nin finansal kırılganlığını temsil eden ICEA (Kripto Para Çevresel Dikkat Endeksi) Endeksi özelinde, pandeminin ve sonrasındaki sürecin yarattığı yapısal kırılmaları ve kalıcılık etkilerini incelemektedir. 2014–2024 dönemine ait haftalık verilere dayalı olarak yürütülen analizlerde, yapısal kırılmalar Zivot-Andrews testiyle, bu kırılmaların süregiden etkileri ise Bai–Perron yöntemiyle değerlendirilmiştir. Uzun dönemli bağımlılık ise hem ARFIMA modeli hem de Hurst katsayısı aracılığıyla ölçülmüştür. Bunun yanında, endeksin volatilite özelliklerini ortaya koymak amacıyla GARCH model ailesi uygulanmış, tail risk düzeyleri ise Value-at-Risk (VaR) yöntemiyle tahmin edilmiştir. Elde edilen bulgular, pandemi sürecinin hem volatilite düzeylerini hem de bellek yapısını anlamlı biçimde etkilediğini göstermektedir. Bu çalışma, yalnızca literatüre katkı sağlamayı değil, aynı zamanda finansal karar süreçlerinde kullanılabilecek erken uyarı mekanizmalarının geliştirilmesine de ışık tutmayı hedeflemektedir. Türkiye gibi yükselen piyasalarda COVID sonrası risk yönetimine ilişkin yaklaşımların yeniden şekillendirilmesi gerektiğini ortaya koymaktadır.

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Cite This Article

Bayram, O. (2025). PERSISTENT RISK and STRUCTURAL CHANGE in THE ICEA INDEX: VOLATILITY UNDER COVID-19. Uluslararası Anadolu Sosyal Bilimler Dergisi, Cilt: 9 Sayı: 2, 391–407. https://doi.org/10.47525/ulasbid.1689077

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