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- MakaleAçık Erişim2024Volatility Modeling and Spillover: The Turkish and Russian Stock Markets
Gençyürek, Ahmet Galip
This study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short memory (GARCH, EGARCH, GJR-GARCH, APARCH) and long memory (FIGARCH, FIEGARCH, FIAPARCH, HYGARCH) considering adaptive structure (Fourier series), and the rolling Hong causality methods are used. The analysis spans the years 2003-2020, revealing that the asymmetric power autoregressive conditional heteroskedasticity model is the most appropriate method in terms of both stock indices and leverage and long memory effects are evident in the volatility series. Bidirectional volatility spillovers between Turkish and Russian stock market indices are also evident in all time horizons. Investors can use volatility results for stock valuation, risk management, portfolio diversification, and hedging, and policymakers can consider the volatility results to evaluate the fragility of financial markets.
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İncele - MakaleAçık Erişim2023Volatility Spillover, Hedging and Portfolio Diversification Between Oil Market and S&P Sectoral Indices
Gençyürek, Ahmet Galip; Ekinci, Ramazan; Agan, Busra
The study aims to analyze the volatility spillover between the oil market (WTI) and the S&P (Stand and Poor's) Energy, Financial, and Industry sector indices through conditional correlation and variance causality. The DCC-GARCH (Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) and Hafner-Herwartz (2006) Variance Causality models were used to analyze the daily data for the period between January 3, 2012 and December 31, 2019. The results indicate a positive time-var ying conditional correlation between the oil market and sector indices. In addition, the hedge ratios and risk-minimizing portfolio weights (which are vital for investors) have been calculated based on these data. The cheapest hedging transaction with the oil market occurs in the financial sector, while the most expensive one occurs in the energy sector. It has also been determined that volatility is transmitted from the sector indices to the oil market. This situation means that the S&P sector indices play a leading role (resource of information-emit information) in volatility spillover. The results provide important information to researchers, investors, and policymakers.
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