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GARCH türevi volatilite modellerinin tahmin güçlerinin bazı TL finansal varlıklar için karşılaştırılması

2015
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Advisor: Yrd. Doç. Dr. Celalettin Ruhi Tuncer

Abstract (EN)

While trying to find the GARCH specification best fitting a data set, three elements, including mean equation, variance equation and distribution type, should be considered by making use of some applicable individual statistics. The dissertation aims to develop a function that can fulfil rolling with trying simultenaously the alternatives of GARCH elements, and to find and assess the best forecasting GARCH specification for some TL financial instruments exchanged in Turkish financial markets by means of this script.

Author

Dr. Yavuz Yumrukuz

How to Cite

Yavuz Yumrukuz (Master Thesis). GARCH türevi volatilite modellerinin tahmin güçlerinin bazı TL finansal varlıklar için karşılaştırılması, 2015, Galatasaray University.

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