文章基本信息

标题：Volatility In Gold Market: Model Recommendation For Turkey
其他标题：Altın Piyasasında Asimetrik Oynaklık: Türkiye İçin Model Önerisi
本地全文：下载
作者：Çiğdem KURT CİHANGİR ; Erginbay UĞURLU
期刊名称：İşletme Araştırmaları Dergisi
印刷版ISSN：1309-0712
出版年度：2017
卷号：9
期号：3
DOI：10.20491/isarder.2017.300
语种：English
出版社：Isarder
摘要：Gold is traditionally perceived as a store of wealth and also considered as a monetary asset and a safe heaven especially in financial markets. Nowadays its monetary asset and safe heaven perception are outweigh. In this context investigating gold price has importance for finance literature. In this paper volatility of Turkish gold price is investigating using İstanbul Gold Exchange (USD/Ons) daily data for the period of 01.01.2010 – 28.10.2016. This paper aims to detect to asymmetric effects then asymmetric volatility models which are APARCH,TARCH and EGARCH are used, and GARCH model is used. Based on model comparison criteria APARCH model is chosen as a best model to explain volatility of returns of gold price. Result of APARCH model shows that the leverage effect exists and found that negative. According to the result,it is found that the volatility in the Turkish gold price is more affected by positive shocks than negative shocks.
其他摘要：Altın geleneksel olarak servet saklama aracı olarak algılanmış ve ayrıca parasal bir varlık ve özellikle finansal piyasalarda güvenli bir liman olarak görülmüştür. Günümüzde altının parasal varlık ve güvenli liman algısı ağır basmaktadır. Bu bağlamda altı
关键词：Gold Prices;volatility;asymmetric GARCH Models
其他关键词：Altın fiyatları;oynaklık;Asimetrik GARCH Modelleri