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Journals / Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2014 / Cilt: 28 - Sayı: 1

İstanbul Menkul Kıymetler Borsası 100 endeksinin DEK değişkenli doğrusal olmayan bir modeli

A unıvarıate nonlınear model of the returns on Istanbul stock exchange 100 ındex

Harun ÖZTÜRKLER
Selim YILDIRIM
Pages
85–98
Publication Date
2022-10-11
DOI
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AI Summary & Key Takeaways

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

The results obtained also confirm that ISE 100 index exhibits nonlinear behavior.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Asymmetric behaviors are common in economics and finance.
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Key Findings & Data:Findings in this study show that ISE 100 index s behavior cannot be estimated by linear univariate models for the period after 2000.
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Conclusion & Impact:The results obtained also confirm that ISE 100 index exhibits nonlinear behavior.
🔬Design:Modeling & Simulation
📍Scope:2000 Verileri
⚙️Variables:Domain Parameters

Abstract

Asymmetric behaviors are common in economics and finance. Since it is not possible to capture asymmetric behaviors by linear models, nonlinear models are developed in order to explain asymmetric behaviors exhibited by such time series. Findings in this study show that ISE 100 index s behavior cannot be estimated by linear univariate models for the period after 2000. Therefore, it is our aim to construct and estimate nonlinear time series models of ISE 100 index. The results obtained also confirm that ISE 100 index exhibits nonlinear behavior.

Özet

Ekonomi ve finans alanında asimetrik davranış yaygın olarak gözlemlenir. Asimetrik davranışı doğrusal modellerle modellemek olanaklı olmadığından, bu tür zaman serilerinin sergilediği asimetrik davranışı açıklamak için uygun doğrusal olmayan modeller geliştirilir. Bu çalışmanın bulguları İMKB 100 endeksinin 2000 yılı sonrasında sergilediği davranışının doğrusal modeller ile tahmin edilemeyeceğini göstermektedir. Bu nedenle bu çalışmanın amacı İMKB 100 endeksinin zaman serisinin doğrusal olmayan bir modelini kurgulamak ve tahmin etmektir. Kurgulanan ve hesaplanan modelin sonuçları İMKB 100 endeksinin doğrusal olmayan bir davranış sergilediğini doğrulamaktadır.

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Cite This Article

ÖZTÜRKLER, H., YILDIRIM, S. (2022). İstanbul Menkul Kıymetler Borsası 100 endeksinin DEK değişkenli doğrusal olmayan bir modeli. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 28 - Sayı: 1, 85–98. https://ajindex.com/articles/453598

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