The Modelling of Exchange Rate Volatility Using Arch-Garch Models: The Case of Turkey

Year 2020, Volume: 9 Issue: 2, 834 - 843, 24.04.2020

Fuat Sekmen , Galip Afşin Ravanoğlu

https://doi.org/10.33206/mjss.541309

Cited By: 2

Abstract

This study investigates the most appropriate method for modelling the volatility for nominal exchange rate by using the ARCH type models. The research covers the period of 2002-2017 of nominal exchange rate using daily data. It is observed that the volatility of nominal exchange rate has the ARCH effect and the most appropriate model for forecasting the volatility of nominal exchange rate is GARCH(1,2) because it has the lowest Akaike Information Criterion. Furthermore, during the crises and uncertain periods, the volatility of nominal exchange rate series increases and volatility clustering is observed, meaning high volatility tends to follow high volatility and it is true for vice versa. 

Keywords

ARCH, GARCH, Akaike information criterion, Volatility, Clustering

Arch-Garch Modelleri Kullanılarak Döviz Kurundaki Dalgalanmanın Modellenmesi: Türkiye Örneği

Abstract

Bu çalışma, ARCH tipi modelleri kullanarak nominal döviz kurundaki oynaklığı modelleyen en uygun metodu bulmaya çalışmaktadır. Araştırma verisi 2002-2017 yılları için günlük verileri kapsamaktadır. Döviz kurundaki dalgalanmanın ARCH etkisine sahip olduğu ve nominal döviz kurunu tahminde en uygun modelin en düşük Akaike bilgi kriterine sahip olmasından dolayı GARCH(1,2) olduğu bulunmuştur. Ayrıca, kriz ve belirsizlik dönemlerinde nominal döviz kuru serisinde artışlar olduğu ve yüksek dalgalanmayı yüksek dalgalanmanın takip ettiği kümelenmenin görüldüğü gözlemlenmiştir.

Keywords

ARCH, GARCH, Akaike Bilgi Kriteri, Dalgalanma, Kümelenme

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