Finansal risk göstergelerinin (CDS, REKS, VIX) borsa volatilitesine etkisinin analizi

The concept of financial risk has become much more important for countries after financialization spread all over the world. Many financial crises were seen during this period, and these crises spread both among financial markets and between countries. Especially the fragile structure of developing country economies shows that these countries need to be much more cautious about crises. Therefore, policymakers should act by considering financial stabilization. This study discussed some financial risk indicators that may be effective in Türkiye and presented the results by examining their relationship with the volatility of the Turkish stock market. In this study, the effects of 5-year CDS, REKS, and VIX variables, which are financial risk indicators, on the volatility of the BIST 100 index were examined. Weekly data between April 2010 and April 2024 was used in the study. GARCH(1,1)-X model was used to model volatility. While this model estimates volatility, it also allows for the examination of the effects of independent variables on volatility. The findings show that the independent variables CDS, REKS, and VIX have a significant and positive relationship on BIST 100 volatility.