Modeling the Dependency in the Turkish Stock Market via the Dynamic Vine-Garch Model

Date

2022-07-15

Author

Evkaya, Ozan
Poyraz, Gülden
Yıldırım Külekci, Bükre
Gür, İsmail

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

226
views

0
downloads

The dependence on financial instruments has always been an interesting topic considering their economic and political effects. To measure the change in such instruments over time and interaction between them, the stock prices are widely considered indicators in the literature. While the dynamic portfolio with a moving window approach is proposed for capturing the changing structure, the Vine-copula is used for the highdimensional dependence. In this study, we analyze ISE100 stocks in the pre-, during-, and post-global financial crisis (GFC) periods by first dividing the stocks into subsectors. For each subsector and time period, ARMA-GARCH models are implemented and compared for different innovations. Thereafter, the dependence structure for each subsector over different periods is modeled with the R-vine copula model. Additionally, Value at Risk (VaR) and expected shortfall (ES) risk measures are computed by Monte Carlo simulation by assuming an equally weighted portfolio, constructed by the selected sector leaders. The applied model offers more consistent and sensitive results with the inclusion of Vine-copula as well as suitable innovations distribution. The primary findings of the study show that the proposed Vine-GARCH Model gives more accurate results in capturing portfolio risk compared to the classical approaches.

URI

https://static.ichaos.com.cn/upload/2022-07/d71e8512-5da1-48e4-872b-77c4802adc4e.pdf
https://hdl.handle.net/11511/102249

Conference Name

25th (2022) International Congress on Insurance: Mathematics and Economics

Collections

Graduate School of Applied Mathematics, Conference / Seminar

Suggestions

OpenMETU
Core

Determination of inflation rate in a hidden markov model framework: Turkey case Aydoğan, Dilek; Kestel, Sevtap Ayşe; Yolcu Okur, Yeliz; Department of Financial Mathematics (2015) Inflation is a significant issue that is cared by every segment of society but especially by economists since it plays an important role in the economic problems of countries. In Turkey, inflation has been a substantial problem since 1970s. There is no stability at inflation rates from that time to 2003. The Central Bank of the Republic of Turkey became independent and started to apply implicit inflation target regime at 2001. As a result of these improvements inflation was taken under control at 2004. Alth...
Modelling nonlinearities in European money demand : an application of threshold cointegration model Korucu Gümüşoğlu, Nebile; Öcal, Nadir; Department of Economics (2013) The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This t...
Modeling illiquidity premium and bid-ask prices of the financial securities Karimov, Azar; Weber, Gerhard Wilhelm; Teker, Suat; Department of Financial Mathematics (2016) When a financial bubble bursts, this affects the entire economy. Therefore, it is important to recognize bubbles as early as possible. In this thesis, we introduce a new approach to identify stock market bubbles by using illiquidity premium derived by employing Conic Finance theory. This theory is connected with liquidity effects and risk behavior of money markets. In financial markets, liquidity is an important quantity since it mirrors the asset's capability to be bought or sold without a significant chan...
Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization Weber, Gerhard Wilhelm; Cavusoglu, Zehra; Ozmen, Ayse (2012-01-01) Nowadays, the importance of financial crises and defaults of countries are becoming clear due to the globalization in the economic area and investments. Generalized partial linear model (GPLM) is a combination of two different regression models connecting with the mean of the dependent variable with the help of a link function. It is adequate to high-dimensional, non-normal data sets having the flexibility to reflect all anomalies effectively. The nonlinear patterns are also easily explained by the nonparam...
Modeling of exchange rates by multivariate adaptive regression splines and comparison with classical statistical methods Köksal, Ece; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017) Economic factors like inflation, interest rates and exchange rates are among the leading indicators of a country’s relative level of economic health. With the help of technological improvements and global requirements, trading volume and a wide range of commerce network, exchange rates play a vital role in economics and finance since a higher exchange rate may result in a lower trade balance of a country, whereas a lower rate may cause an increase. Inflation, interest rates, domestic money supply growth, a ...

Citation Formats

O. Evkaya, G. Poyraz, B. Yıldırım Külekci, and İ. Gür, “Modeling the Dependency in the Turkish Stock Market via the Dynamic Vine-Garch Model,” presented at the 25th (2022) International Congress on Insurance: Mathematics and Economics, Guangzhou, Çin, 2022, Accessed: 00, 2023. [Online]. Available: https://static.ichaos.com.cn/upload/2022-07/d71e8512-5da1-48e4-872b-77c4802adc4e.pdf.