An examination of international airline stock returns discussion using GARCH approach on VIX, Brent oil prices and economic policy uncertainty index

In today's global economic environment, the frequency of fluctuations in financial markets has increased due to rising uncertainty, which significantly affects investor behavior, particularly in highly sensitive sectors. The airline industry, in particular, is extremely vulnerable to external shocks such as geopolitical risks, economic fragility, fluctuations in oil prices, and policy uncertainty. Therefore, accurately modeling the impact of global uncertainty indicators on this sector has become essential for both investors and policymakers. The primary aim of this study is to analyze the effects of global uncertainty indicators, namely the VIX index (a measure of market oynaklık), Brent crude oil prices, and the Economic Policy Uncertainty (EPU) index, on the volatility of stock returns of international airline companies. In this context, daily stock return data from ten major airline companies operating across various regions, including Japan, the United States, Türkiye, Germany, France, South Korea, Taiwan, Hong Kong, and Singapore, covering the period from 2015 to 2022, were used. Among the models, EGARCH demonstrated superior performance with lower Akaike Information Criterion (AIC) values and higher adjusted R² scores, compared to others. In general, the findings reveal that the volatility of airline stock returns is significantly influenced by global uncertainty factors, particularly the VIX, while the effects of Brent and EPU are more context-specific, varying by firm and region. This study provides valuable insights for investors and policymakers in the fields of risk management and strategic decision-making. Keywords: Airline Stocks, Brent, Economic Policy Uncertainty, Volatility