Findings Of Asymetric Volatility During The Covid-19 Pandemic: A Review Of BIST Sector Indices

Year 2022, Volume: 6 Issue: 2, 2217 - 2233, 31.05.2022

Berkan Ataş , Osman Emre Arlı

https://doi.org/10.29023/alanyaakademik.1025865

Cited By: 2

Abstract

Asymmetric volatility can be defined as negative fluctuations having a higher effect on the variance than positive fluctuations. Although this phenomenon is a structural feature of financial series, it is thought to strengthen even more during crisis periods. In this study, the presence of asymmetric volatility was tested as a result of the effect of the global crisis caused by the pandemic, which started to be seen in the Far East countries at the beginning of 2020 and then spread rapidly all over the world. The asymmetric volatility effect of the crisis on BIST primary sector indices has been examined. GJR-GARCH (1,1) statistical model is applied. Based on findings, although asymmetric volatility is a characteristic feature of BIST sector indices for both the pre-pandemic and pandemic periods, all sectors gave more significant results in the pandemic period. In addition, it is observed that the asymmetry coefficient is higher in all pandemic periods.

Keywords

Asymmetric Volatility, Covid-19, GJR-GARCH

Covid-19 Pandemisi Döneminde Asimetrik Volatilite Bulguları: BIST Sektör Endekslerinde Bir İnceleme

Abstract

Asimetrik volatilite negatif dalgalanmaların varyans üzerinde pozitif dalgalanmalara göre daha yüksek etki yaratması olarak tanımlanabilir. Bu olgu finansal serilerin yapısal bir özelliği olmakla birlikte kriz dönemlerinde daha da derinleştiği düşünülmektedir. Bu çalışmada 2020 başlarında uzak doğu ülkelerinde görülmeye başlayan daha sonra hızla tüm dünyaya yayılan pandemi kaynaklı küresel krizin etkisi sonucu asimetrik volatilite varlığı test edilmiştir. Pandemi kaynaklı krizin BIST birincil sektör endeksleri üzerinde yarattığı asimetrik volatilite etkisi incelenmiştir. Çalışmada GJR-GARCH (1,1) istatistiksel modeli kullanılmıştır. Bulunan sonuçlara göre asimetrik volatilite hem pandemi öncesi hem de pandemi dönemi için BIST sektör endekslerinin karakteristik bir özelliği olmakla birlikte bütün alt sektörler kriz sonrası dönemde daha anlamlı derecede sonuçlar vermiştir. Ayrıca asimetri katsayısının kriz sonrası dönemlerin tamamında daha yüksek olduğu görülmüştür.

Keywords

Asimetrik Volatilite, Covid-19, GJR-GARCH

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